[1] Finlay was born to an English mother and a Scottish father, who worked in life insurance.
Finlay credits a stay with her grandmother in Winchester during a period of teenage illness as key in her decision to follow a creative path.
[2] Finlay's work includes a documentary about the making of the final season Game of Thrones, The Last Watch, along with the Bifa-nominated Seahorse,[3] about trans man Freddy McConnell's pregnancy.
(a documentary about Nottingham Arts Theatre's 2012 pantomime production of Puss in Boots),[4] the Bifa and Grierson-nominated[5] The Great Hip Hop Hoax[6] and Sound it Out, a documentary about the last record store in Teesside which was the official film of Record Store Day.
[2] The latter film was an early successful example of crowdfunding, having been rejected and then subsequently bought by the BBC.