Why wasn't it given to Poland, Lithuania, or East Germany?
Also: Why is it still part of Russia?
Actually, a significant portion of East Prussia WAS given to Poland. Here is a map of Germany after WWII. Notice how East Prussia had different colors. A part of East Prussia went to Poland, a part went to the USSR and a part now belongs to Lithuania.
East Prussia was was transferred from Germany to Poland and USSR as part of reparations to those countries following the German invasion and occupation during WWII. East Germany was also a major staging area for those invasions so there were military/geopolitical considerations as well.
Kaliningrad was meant to be second port for Russia. Petersburg is not really perfect couse its easily locked by neighbors. But there was no need for that. So now it serves as military base for russia. There arent any germans/prussians there anymore tho. It was deported and populated with russians.