I read somewhere that the name "Finn" actually means Blond Hero or something. So you could say that it's a perfect name for him. Especially when you consider what a pure-and-good-sounding name it is. It matches his character well.
And neither the names Finn nor Jake are dogs names really. If they named Finn "Fido" or something then I'd say switch, but really I think they both have awesome names. c: And Jake is a walking, talking magic dog, who doesn't actually have an owner or anything. A completely independent character. So of course he wouldn't have a "pet dog" name.