Growing up in Moscow, we often spotted hedgehogs around our dacha not far outside the city. What species would this have likely been? A list of hedgehog species is available here
The hedgehog species found in Finland is Erinaceus europaeus. The hedgehog is a fairly new species here - the first mentions of it can be found circa 1879. Contemporary records speculate that it came over from Russia along with Russian soldiers; hence, I would think it might be the same species. Another option is Erinaceus concolor, which is found e.g. in Estonia. One difference between the two seems to be that one digs dens and the other builds grass nests. Do you remember any evidence of this?
Tough to tell - the one I considered to be my pet when I was young had a nest under our staircase, but the staircase was covered on the side so I don’t know if he had dug a burrow in there or had made a grass nest, though the nest seems more likely