Wine bases its keyboard layout on X keyboard layout, so you have to change X keyboard layout. I think it's normally global to your X session, but some programs can switch the layout as you focus different windows, emulating per-application layout. Could even be that your "desktop" has this feature already, check out if it allows more than one active layout and the way to switch between check (icon in tray, keybinding,...)
"Assume nothing" solution: You could open Skyrim shortcut (in ~/.PlayOnLinux/shortcuts/) and enclose the POL_Wine line with "setxkbmap us" and "setxkbmap fi".
It should work, automatically, but will change the keyboard layout for your whole X session though.
