Depending on your index configuration (if you have a lot of indexes, it will slow the query down A LOT), you MAY be faster doing:
CREATE TABLE tmp_table2 LIKE table2;
ALTER TABLE tmp_table2 DISABLE KEYS;
INSERT INTO tmp_table2 SELECT t2.* FROM table2 AS t2 JOIN table1 AS t1 ON t1.CITY = t2.CITY WHERE t1.country != 'Russia';
ALTER TABLE tmp_table2 ENABLE KEYS;
DROP TABLE table2;
RENAME TABLE tmp_table2 TO table2;
Basically, it creates a new table, tells it not to update indexes, inserts the "good" records, tells it to update the indexes, and then renames it...
NOTE: Don't try to wrap this in a transaction, it won't work due to the DDL...