First lady is used quite widely, I believe. We use the term also in Norway (førstedame), not just about the First Lady of the US, but about any country's first lady. The first lady is always used in relation to the wife (or in some instances daughter) of the highest ranking male ie President/King, never about a Prime Minister.

As for rank (precedence) in Finland - I would imagine the wife of the president is ranked higher than the Prime Minister, but I have not seen this written anywhere.