You are right. - But why did the Romans call that tribe "Fenni"? Tacitus, as far as I understand, is the only source for this ("Germania" 46). He itemizes the neighbouring tribes of the Teutons, here in chapter 46, north and east of the Suebes, so he talks about the tribes of the "Peucini", "Venethi" and "Fenni" and he is not sure whether these belong to the "Germani" or to the "Sarmati" (interesting, because the Sarmates seemed to have lived near to where now Hungary is, but this may be coincidence, everything got mixed up quite a bit in the following centuries).
Whenever Tacitus names a tribe, he uses the term they use themselves. So I am pretty sure that "Fennia" or whatever is not a Latin word.