This is very unfortunate.
When you say the vehicle is on finance, do you mean the original 'owner' had a finance arrangement in place? Or have you entered into a financial arrangement?
I will assume there was finance in place. Therefore, if there is a finance arrangement in place before you purchased the vehicle then the vehicle belonged to the finance company until all repayments have been made.
You have you options (1) try to recover the money you paid to the seller for breach of contract. Did you buy private or from a trader? How did you purchase the vehicle, cash/credit card/loan. How much did you pay? Do you have receipt of purchase/written contract? If you paid cash with a verbal contract it will be more difficult.
(2) how much finance remains unpaid on the vehicle? You could, depending on the amount, pay the outstanding finance. This may not make financial sense if a considerable sum is outstanding.
I would imagine that option 1 is best. If you have the necessary paperwork work and details then you can sue the seller using the online service, money claim online.
I hope this helps. Please let me know if you have any questions or queries.