I may have come across such etymologies before, but as far as I remember, this is the first proposal I’ve seen of a Uralic loanword in Proto-Indo-European. In Ananta Śāstram: Indological and Linguistic Studies in Honour of Bertil Tikkanen ed. Klaus Karttunen (Helsinki: Finnish Oriental Society, 2010), Asko Parpola has this to say on the etymology of Finnish kaivaa ‘dig’:
The Finnish words kaiva-a ‘to dig’ and kaivo ‘digging, well, pit’ have cognates in Finnic languages, in Saami and the Volgaic and Permic languages. Ante Aikio has shown that Proto-Finno-Ugric *kajwa- can be regularly connected with Proto-Samoyedic käjwa ‘spade’, asthe change *a > *ä took place in Samoyedic before a tautosyllabic palatal consonant, thereby settling an old problem, the history and material of which is fully discussed by Aikio. Hence the etymon is an archaic Uralic nomen verbum.
What I offer here is not a new etymology, but simply a reference to an old etymology proposed as early as 1920 that was not included in the indexes of etymologically treated Finnish words by Donner and Erämetsä, and so has escaped notice in SKES and SSA. K. F. Johansson had reconstructed an archaic Proto-Indo-European heteroclitic noun *kaiw-r̥-t (nom.) ~ *kaiwn̥n-eś (gen.) on the basis of Greek and Old Indo-Aryan. Hesychius records καίατα in the sense of ‘pits, excavations, trenches, ditches’ (ὀρύγματα) or ‘landslide chasms caused by earthquake’ (ἢ τὰ ὑπὸ σεισμῶν καταρραγέντα χωρία) The plural καίατα is supposed to stand for καίϝατα, from the singular καίϝαρ. Old Indo-Aryan kevaṭa- ‘pit’ is attested in a single occurence in the oldest text, Rigveda, 6,45,7; Old Indo-Aryan e goes back to Proto-Aryan *ai and *rt has often become retroflex *ṭ. Pokorny accepts the comparison and reconstructs for Proto-Indo-European *kaiwr̥t *kaiwn̥-t. Thomas Burrow and Manfred Mayrhofer have considered the scanty evidence in both Old Indo-Aryan and Greek as too uncertain for the assumption of a PIE hetercliton. Still, Mayrhofer thinks it is possible that the words are related. Herbert Petersson also emphasizes that no trace of this etymon is found in other Indo-European languages — and Frisk points out that no corresponding PIE verbal root can be traced — while the root structure too, with a diphthong following by -w-, also looks peculiar for PIE. Petersson therefore takes this to be one of the rare cases where Proto-Indo-European is likely to have borrowed from Proto-Finno-Ugric. Mayrhofer refers to Petersson’s suggestion as noteworthy but unconfirmed. However, the confirmed Uralic origin of kajwa- and the archaic appearance of the word on both sides gives new significane to Petersson’s hypothesis.
(The title of Parpola’s contribution to this volume is ‘New Etymologies for Some Finnish Words’, pp. 305–318. In quoting it here, I have slightly abridged the text and left out the parenthetical citations for the sake of readabiity.)