Translation guide
The country name 'Russia' is expressed in Japanese as ロシア (Rosia), a katakana loanword. This is the standard and most common way to refer to the country in all contexts.
Referring to the country Russia
Standard Japanese word for Russia. Used in all contexts: news, conversation, formal writing.
Ateji (kanji used phonetically) for Russia. Rarely used today, mostly in historical contexts or for stylistic effect. The reading is the same as ロシア.
Using 'Russia' to mean 'Russian' (adjective)
To say 'Russian' as an adjective (e.g., Russian food, Russian government), attach の to ロシア. This is the most common way to form the modifier.
I like Russian food.
Russia is a large country.
He came from Russia.
露西亜文学を研究しています。
I am studying Russian literature.
The capital of Russia is Moscow.
Loanword from English 'Russian', used in some compound words like ロシアンルーレット (Russian roulette). Not a general adjective.
Russian roulette is dangerous.