I have looked it up in Tanums store rettskrivningsordbok, which contains 300,000 Norwegian words, and 'filharmonie' is not in it. We do, however, have an orchestra called Oslo-Filharmonien. My feeling is that the last part of this name is the definite form of the noun 'filharmoni', but 'filharmoni' is not in the dictionaries either. The English equivalent of 'filharmoni' would be 'philharmony'.

Maybe there is a play on words here, but I don't see it. If it had been 'filmharmonie' with an m, I might have imagined something like that.