There is currently petition citizen initiative underway to urge the European Commission to connect all capitals of the EU with high-speed rail.
I’ve already signed it, are you joining ?
https://europa.eu/citizens-initiative/select-language?destination=/initiatives/details/2023/000004
Edit: It’s not a petition, it’s a citizen initiative.
Train ferries a bit logistical hassle through and are pretty slow and costly afaik. Another person linked a proposal for an undersea tunnel between Estonia and Finland which would solve that problem, but connecting to Sweden without a ferry is still tough, unless they decide to invest into a similar project or construct a high-speed all the way around the Baltic Sea through northern Scandinavia which is probably not really feasible.