According to this dictionary, it looks like the word sähkö is Samuel Roos's invention, in a writing published in 1845. It came from the words describing the characteristics of an electric spark (sähkökipinä): »sähähtää säkenöimällä» 'hiss/bustle by sparking'; from there Roos coined the word sähkö to describe this power.
It likely though has roots in the words sähistä 'to hiss, to bustle (as in a throng of people), hurry' which is also related to the word sähähtää above, and säen 'spark (of fire)'. It has since spawned other related derived words like sähköinen 'electric (adj.)', sähköttää 'to telegraph, wire' (sähkö+causative), sähköistää 'to electrify', and sähke 'wire', among others. Also, the word for email includes it as a compound; sähköposti.
Interesting! Also kind of impressive that it didnt sneak in as a loan word from Swedish or something, but then there have been times when Finnish is rather successful like Icelandic at making words from native roots as opposed to borrowing them; tietokone 'computer' and kännykkä 'cell phone' included.
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It likely though has roots in the words sähistä 'to hiss, to bustle (as in a throng of people), hurry' which is also related to the word sähähtää above, and säen 'spark (of fire)'. It has since spawned other related derived words like sähköinen 'electric (adj.)', sähköttää 'to telegraph, wire' (sähkö+causative), sähköistää 'to electrify', and sähke 'wire', among others. Also, the word for email includes it as a compound; sähköposti.
Interesting! Also kind of impressive that it didnt sneak in as a loan word from Swedish or something, but then there have been times when Finnish is rather successful like Icelandic at making words from native roots as opposed to borrowing them; tietokone 'computer' and kännykkä 'cell phone' included.