If you still own the stock, you don't yet have a capital loss or gain. Capital gains and losses are realized only when a stock is sold or becomes worthless.
It seems this would be a case where the stock has become worthless -- the ADR shares are cancelled, I can no longer access them. Even if I could find a way to access them, the US sanctions prevent trading them or doing any banking transactions with Russian entities.
How do you report as worthless, and what documentation is required?
If you Google "tax aspects of worthless securities" you'll find many detailed references. Note that if you can sell the shares and receive anything in return (beyond the broker's commission), they're not "worthless." Some references suggest obtaining a letter from your broker stating that the securities are worthless.
Here's an IRS reference on the topic: