First happens when Emily elbows her way into planning Sookie's wedding. After she is fired from the gig because nothing is cheap when it comes to Emily Gilmore, Lorelei confronts her saying that the wedding Emily is planning is not actually Sookie's but hers. Emily denies it and says the wedding she planned for Lorelei was a Russian winter theme ala the Romanovs.
The next suggestion of a Russian theme comes when Emily is planning the launch party for Richard and Jason going into business together. She even says, "It's nice that we can like Russians again." Or something to that effect.
The last Russian connection has to do with an event in the 6th season called the Russian Tea. It was when Rory and Lorelei had their falling out and Rory was living with her grandparents. There were even balalaikas being played in the episode.
I'm sure I'm missing another event that Emily wanted to plan that was Russian-themed. I'll probably update this post when I encounter it. At the moment I'm already in season 4, about to watch episode 16.