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This page is non-canon and should not be taken seriously. It is not official.
The Soviet Embassy to the United States was a building in Washington, D.C. After a stunning defeat with Rocky Balboa, the great Soviet fighter Ivan Drago was locked up in the Embassy. It was not until Gorbachev released him into the streets to fight crime that Drago was able to get out.
Even though the Soviet Union collapsed in 1991, its U.S. embassy was somehow maintained. Drago managed to march from it, in Washington, all the way to Mighty Mick's Gym in Philadelphia, Pennsylvania, fighting crime all the way.