HELSINKI - Key Finnish politicians have been warned that Russia could halt its gas supplies to neighbouring Finland on Friday, local newspaper Iltalehti reported on Thursday, citing unnamed sources.

The paper did not specify where the warning would have come from and Reuters was not able to verify the information.

Finland's President Sauli Niinisto and Prime Minister Sanna Marin on Thursday said Finland would apply to join the Western defence alliance NATO "without delay", prompting Russia to vow a response.

On May 5, the Finnish government said it was prepared for the possibility of its eastern neighbour cutting off gas delivery in response to Finland's refusal to abide by Russian demands for gas payments to be made in roubles.

(Reporting by Anne Kauranen and Essi Lehto; Editing by Toby Chopra)