I want buy Stardew Valley and gift it to my littlesister for christmas. First I'd like to know does anyone sell it on a disc I could order to Finland?

If not, can I buy the game from GOG, download it on to USB memory device, and hand that to my sister? Any problem with that?

I don't think there is a physical release of the game. There might be a little issue with this, if you don't already have the game yourself.
First, you buy the game as a gift, sending the code to your e-mail. Print that code and add it to the gift for your sister, so she has a valid license. Then, assuming you have the game yourself already, download the installer (and any extras she might be interested in) and copy them to the usb stick. If you don't have the game yourself, getting the installer may prove problematic, unless you create an account for your sister, redeem the gift and download the installers from there.

P.S. Instead of a usb stick, you could burn it to a disc, then print this cover (courtesy of Zacobrav) and make a DVD box yourself.

If the game is discounted before that, you can always buy the game then and send it to your e-mail. You will still get the gift code to use, and you can then give the code whenever you feel like it.
The account is needed to be made before the gift can be redeemed (obviously).