The last pagan state would be Lithuania who officially became Christian in 1385, when the Lithuanian king married a Polish queen and united the two kingdoms. Of course it did not mean every Lithuanian became a Christian the same second as their King did.

The Saami peope in northern Scandinavia kept their shamanistic beliefs until the 17th-18th century, when most of them had converted to Christianity. If memory serves me correct, by then the Baltic and rest of Europe did not have any pagan groups in the open.

I don't have much knowledge on Russian religious history and considerings its size, there might have been some groups there who retained their pagan beliefs longer.