I understand how we can show the existence of a choice function for any (finite or infinite) collection of (finite or infinite) subsets of, say, $\mathbb{N}$ or $\mathbb{Z}$ without using the axiom of choice, by showing that a well-ordering over the union of sets in the collection exists.
What I don't see though is how to do the same for what appears to be a much simpler case: a (possibly infinite) collection of finite sets, where nothing else is said about the sets other than that each of them is finite.
I would need to show a well-ordering exists over the union of those sets, but since they were not explicitly defined to be subsets of $\mathbb{N}$ or $\mathbb{Z}$, I first need to show the following, for example:
(i) there exists a surjection from $\mathbb{N}$ to $\bigcup X_i$ for an arbitrary collection of finite sets $X_i$
Correct so far?
Alternatively, I'm on the wrong track, and this is precisely a case that (unintuitively for me then) requires application of the axiom.
If so, I suppose I don't see why (i) wouldn't hold, when it seems that any definition within ZF of a finite number of elements is equivalent (in some sense to be made precise) to a finite subset of $\mathbb{N}$, so, given that the union of a collection of finite subsets of $\mathbb{N}$ is a subset of $\mathbb{N}$, the required well-ordering exists.
You're right. The axiom of choice is needed, albeit in a limited form.
It is consistent that there is a countable collection of pairs, $P_n$ such that there is no choice function from the $P_n$'s themselves. In particular, $\bigcup P_n$ is not a countable set, and in fact cannot even be linearly ordered.
But since it is consistent with $\sf ZF$ that the axiom of choice holds, we can't really give a proper and concrete definition for such a set. We can just prove that if $\sf ZF$ is consistent, then there is a model of $\sf ZF$ in which that happens, and other models of $\sf ZF$ in which it doesn't.
(By the way, you probably wanted to say that $\bigcup_i X_i$ is a countable union of finite sets; otherwise it's not true in $\sf ZFC$ either. Just look at $X_i=\{i\}$ for $i\in\Bbb R$, then $\bigcup_{i\in\Bbb R}X_i=\Bbb R$ and there is no surjection from $\Bbb N$ onto $\Bbb R$.)