Nine Layers Of Sky by Liz Williams
Elena, a former scientist, now cleans office buildings in Khazakstan, and saves money so that she and her sister and mother can escape the economically-depressed former Soviet Union and start a new life in Canada. While selling some black-market items in Uzbekistan, she finds a small, enigmatic sphere in the street and takes it home.
Ilya is shooting up heroin in his flat in St. Petersburg when he gets a sinister visitor who knows what he really is: an immortal folk-hero known as a bogatyr who has lived through 800 years of Russian history and now longs to die. The visitor hires Ilya to retrieve the artifact that Elena has found.
Ilya tracks the sphere to Khazakstan where Elena agrees to sell it to his employers. The two of them set up a meet only to find his employers killed by supernatural beings and them framed for the murder. Fleeing the police, they start to fall in love while encountering hostile supernaturals and unexpected trips into a parallel world where a more prosperous and magical Russia exists (though it, too, has a form of Soviet government). A fascinating and unusual fantasy