An exclave is a part of one country completely surrounded by another country. Russia and Azerbaijan have exclaves: Kaliningrad Oblast and Nakhchivan respectively.
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Kaliningrad Oblast is an exclave of Russia, between Poland and Lithuania on the Baltic coast in northern Europe. The capital city of the region is called Kaliningrad, having been renamed from the German city of Königsberg in 1946. An exclave is a portion of a country totally surrounded by other countries, geographically disconnected to the home nation. The territory is important to Russia as it is the home of the Russian Navy's Baltic Fleet.
Poland is bordered by Germany to the west; the Czech Republic and Slovakia to the south; Ukraine, Belarus and Lithuania to the east; and the Baltic Sea and Kaliningrad Oblast, a Russian exclave, to the north. (Wikipedia)
The Baltic Sea borders both St. Petersburg and Kaliningrad. St. Petersburg is located on the eastern shore of the Baltic Sea in Russia, while Kaliningrad, an exclave of Russia, lies on the southern shore of the Baltic Sea. This strategic body of water connects various countries around the region.
The country which has an exclave that shares a border with both Russia and Canada is the United States. The United States exclave which shares a border with both is the state of Alaska.
The Kaliningrad Oblast is a Russian exclave located between Poland and Lithuania, along the Baltic Sea. It is geographically separated from the rest of Russia, with Poland to the south and Lithuania to the north and east. Kaliningrad has a strategic significance due to its location on the Baltic coast.
Looks like Prussia (southern Lithuania, the Kaliningrad exclave of Russia and north-eastern Poland) http://www.pbs.org/greatwar/timeline/