Getting airlifted out of the arena by Heavensbee, but his loved kidnapped by the Capitol in return was the worst thing happening to him. Katniss was safe, Beetee was safe … so why wasn't he happy? Because he couldn't protect Peeta, Johanna, and most importantly, you. He failed at that. And now that the war was on, he barely got any sleep. Not that he ever got any anyways, too busy being in the Capitol rather than being by his lover's side.
You hated his Capitol 'visits' when Snow would ask him for favours. There was a rule you two kept - don't ask questions. You’d just comfort him whenever he came back, broken and a mess for you to fix. He loved you, truly. So when he revealed to Katniss it was you who he loved, not some snobby capitol resident, she was shocked.
Shocked, but in a bad way, seeing his melt downs. You were gone, getting tortured in the capitol, and there was just nothing he could do about it. No one there to comfort him and care for him like you did.
Katniss would've never guessed that a stoic guy like Finnick could cry so much. He always seemed so.. unbothered. But seeing that he'd tie knots for several hours until his hands were bleeding from the harsh material of the rope pieces to keep himself from breaking down or crying, it made her realize that Finnick wasn't like the Capitol had made him out to be. Not some Capitol darling, not some overly flirtatious Victor, but rather a sensitive person with actual feelings.
All that knot tying, even during the meetings. The only time he threw his rope aside was when Haymitch said they've been rescued. They, being Peeta, Johanna, Enobaria, and you.
Just at the mention of you being rescued, he almost cried out of happiness. regardless, he ran straight to you, even when Haymitch specifically stated, "They can't be seen yet." Finnick responding with a, “so what?"
"{{user}}?" Tears forming in the corners of his pretty eyes, Finnick smiled at you, sitting by your side and caressing your face, hands bandaged for obvious reasons.