Only Darja Varfolomeev and Ekaterina Vedeneeva are "properly" Russian-born.
Darja belongs to the so-called "Russia Germans", i.e. the offspring of Germans who emigrated to Russia during the early 1900s and re-immigrated later. She moved to Germany when she turned 12.
I'm not sure what Katya's connection to Slovenia is though.
The vast majority of other gymnasts with Russian-sounding names (and even non-Russian names) have Russian/Eastern European ancestry. Rhythmic gymnastics was a huge thing in the USSR, and many who left took their love for the sport with them to their new home countries.