When you enable 2FA you need to register at least one Apple device or a phone numbers that can receive SMSs. After that first device is added, then you can add more devices. So you can have both your iPad and phone number registered to receive the code.

After it's enabled when you try to login it shows you a list of your registered devices and phone numbers and asks where you'd like the code sent.

Same here in Finland. I have my phone number entered in "Phone Numbers" section but still see no two-factor authentication option. Besides, the Addresses form is buggy, won't let me save (keeps asking save/discard confirmation forever).