The similar names are just coincidence. They only sound very similar in some languages, while in others, there isn't a whole lot of similarity

For example, in German, Russia is Russland, while Prussia is Preuβen

In French, Russia is Russie(pronounced as you might think), while Prussia is Prusse(pronounced "Proos")

Russian and Prussian weren't in the same language families either. Russian is an East Slavic language, while Old Prussian was a West Baltic language.