[qwsxyh]

I think most people still consider the Nordics mainland.

[ahje]

Most people use the term "Continental Europe" and not "Mainland Europe" for that very reason.

Technically, most of the Nordics is a peninsula and a large number of adjacent islands of various sizes, so it depends on your definition of course.

[alkonaut]

Yes we can indeed walk from the nordics to what we like to call "the continent". Which is odd when you think about it, because you'd think the continent would consist of what you can walk to.