Annie,
BTW, welcome to the forums. I just noticed this was your first post. I've not kept up with the embassy statuses since my wife has been stateside 3 years already. But maybe you could try Turkey, Georgia, or Armenia? I don't think any of those require a visa to travel to (for Russians). When my wife did hers, she went through Warsaw. She got the Schengen visa. Flew from Russia to Athens, spent one night, then flew to Warsaw the next day. After her interview she was able to fly straight back to Russia from Warsaw. Wasn't too painful, but of course that was 3 years ago.
Best of luck,
Michael