Were any people in other faith blocks Russian Orthodox for example ever canonized by the Roman Church in modern times as an ecumenical gesture and is it okay to pray to Anastasia?

The only non-Catholic saints were some Jewish relatives of Jesus who died before Christianity was founded - St. John the Baptist, St. Elizabeth, St. Anne and St. Joseph, for example.

There is a Saint Anastasia who you can pray to but she is not the same person as Anastasia, the daughter of Tzar Nicholas who is not a canonized saint.