was cry of fear really set in poland?

absolutely not (Sweden, actually!) but up until you pointed this out I managed to Mandela Effect my way into believing it was

There's this Russian-developed game called 'They are Alive!' which takes place in Moscow, and you play as an engineer who was just recently fired from his job alongside his fellow workers. After a riot on his employer's building, your character finds a pair of sunglasses that allows him to see that some of the people around him are actually aliens. It's pretty much a weirder Russian version of John Carpenter's They Live wrapped around as a budget Condemened clone.

Other games that take place in Russia are the post-apocalyptic survival game '35MM' and the standalone Half-Life mod 'Paranoia'. There's an action game called Collapse from 2008 which takes place in Kiev, Ukraine.

Was not aware of any of these but holy shit the fact that there's a Russian video game version of They Live with a nearly identical title makes me genuinely happy

The game itself is rather rough, but I love the fact it exists too and is still a neat experience

Also just remembered another game, Odium/Gorky 17 which is a turn-based strategy game set in Poland

There's also Jalopy which is a driving adventure game set just after the fall of the Berlin Wall, it starts in Berlin but you go through various cities in Eastern Europe such as Czechoslovakia (split to Czech Republic and Slovakia today), Hungary, and Bulgaria.