A quick Google for "giant worms" finds a few that are a couple centimeters in diameter around the world, but none in the vicinity of Russia.
My uncle even made one up with his friends. They went fishing, got drunk and decided to tell everyone they saw aliens land. They had noticed an area by woods that was burnt by a lightning strike and some fire had started. So that became the landing site. And so on. He made us kids and a few women from the village believe him.
There were national ones of course. My favorite was about this: https://en.wikipedia.org/wiki/Kola_Superdeep_Borehole. The rumor was that the scientists had reached hell (temperature increased dramatically, which it did in reality, see! every legends needs a tiny bit of truth there), and there was, of course, a red monster which crawled out from the whole. I really loved that story as a kid.
There were countless others which I already forgot.