As a "Russian" myself, I think it's very difficult to pin down something like an "ethnic Russian" because the country is so huge that there are a ton of different ethnicities and an "ethnic Russian" remains a sort of "mutt" DNA-wise.
My family did a myheritage.com DNA test and even my dad whom we considered a "true" ethnic Russian, considering he hails from Russian nobility, turned out to be a bit Finnish, quite a bit Baltic, Eastern European in general (Poland, Ukraine, etc.) and even some Asian as well as Irish/Scottish/Welsh (no idea how the Celts made it into our DNA, but here we are).
If you look closely at the Russian athletes, no one is a "pure" Russian. Even Alexander Ovechkin has Mordovian (Finno-Ugrian) blood from his mother's side. Tuktamysheva is Udmurt, another Finno-Ugrian tribe, Grishuk and Platov were born in Ukraine, Valieva, Kabaeva and Zagitova are Tatars, Sikharulidze is part-Georgian, Dalaloyan is part-Armenian, Averbukh is (obviously) of Jewish heritage, Kolyada has once said in an interview when asked about his last name that one of his ancestors was Ukrainian and wanted to marry a girl but since he had no last name he just chose "Kolyada" because he liked singing Christmas carols etc. Even the anti-Ukrainian moron Plushenko has a Ukrainian father, and is not "purely" Russian by any means.
Regarding Baiul: I remember she referred to herself as Russian at some point, but I think that was before she found out that her maternal grandmother (who was from Romania, I think) was Jewish.
IIRC, Baiul identifies as Ukrainian and Jewish these days.