@karvjorm,
Using this method is not exactly a good practice. Infact, I think it may be a bug.
Names beginning with "xml" are reserved (for namespaces in this case).
setAttribute() should return false in this case I think, but I suppose it doesn't.
Still, the right way to do it is with createElementNS().
It lets you specify the namespace when creating the element node.
So the equivalent to yours ($html added to allow word wrapping) is:
$dom = new DomDocument('1.0','iso-8859-15');
$html = $dom->createElementNS('http://www.w3.org/1999/xhtml', 'html');
$ht_ml = $dom->appendChild($html);
$ht_ml->setAttribute('xml:lang','fi');
$ht_ml->setAttribute('lang','fi');