Hmmmm all things considered it could be someone like Ilya Muromets who we've met in the series.I'd really, really, love to know who Lavrenti Beria (the NKVD chairman) was talking to over that phone. Because it takes a lot of guts to pull that "you make them fall, I make you fall with them" stunt on your own boss in the worst times of Soviet Russia. And I'd love to see who has Vashenka and Nadya in such regard, and why, as to dissobey Beria and threaten him in 1945 over two low-ranked soldiers. I sense there's a really good tale there that we haven't seen - yet.
Can't be Baba Yaga. Beria is explicitly talking to someone in the actual chain of command about getting rid of witches in the chain of command. Baba Yaga just CAN'T be the person he's talking to.Hmmmm all things considered it could be someone like Ilya Muromets who we've met in the series.
The alternative is that he is speaking to someone with independent power to back up that threat...The hag with the iron teeth who lives in a hut on fowl legs is the only one I can think who might have that power.