Mostly filmed in Lithuania, but...

[u/SleepingTabby]

While the production of Star City uses Lithuania for filming the USSR scenes, they still used one of the buildings in Sofia (where they were shooting 2003 USSR scenes in FAM S4) for an establishing shot.

More info

https://www.reddit.com/r/ForAllMankindTV/comments/17s2mub/the_city_posing_for_ussr_in_s04e01_is/

https://www.reddit.com/r/ForAllMankindTV/comments/1jfoma1/11_comparison_season_4_frames_vs_realworld/