And to my great disappointment they missed an elephant in the room with her. She was born, to quote her Civilopedia entry, "a Prussian princess named Sophie of Anhalt-Zerbst". So she was a native German speaker who, naturally, had a German accent while speaking Russian, although accounts on how thick it was vary.
I'm surprised how Firaxis managed to miss this, when in previous installment we had another Catherine, de Medici, speaking French with an Italian accent and Napoleon with Corsican accent in this one.