I think Ivan the Terrible would be really cool as a Russian leader. They could make him appear in his traditional ultraconservative bloody fanatically religious tyrant outfit, the kind he wears on all those old engravings of him you see.
Ivan also exemplifies pretty well the bloody autocratic history of Russian government as well as Russian culture and Orthodox Christianity in the pre-Soviet period. I think diplomacy with this cruel and fanatical Tsar would probably be a lot more interesting than with some ugly British wet nurse who Firaxis is trying to push off as Catherine the Great. I hope you can change the names and images of the political leaders of the different nations, because in that case I'm definitely substituting Ivan in.
Stalin would be another good choice, not because he was that great a leader but because the exemlifies the autocratic tyranny of Russia and the attempts to modernize, with varying success, through government-sponsored industrialization fueled by terror. I think it would still be more interesting to use someone from the pre-Soviet period because Russian culture is a lot more interesting from then, so I say go with Ivan.