It would be helpful to know the context you saw the phrase, but All-Russia usually refers to the unification of the three Russias, or the three territories that claimed heritage from the Rus. Great Russia corresponds to modern day European Russia, White Russia is now Belarus (which literally translates to white Russia), and Little Russia is now the central region of Ukraine along the Dnieper River. These three Russias are what the tsars of Russia referred to when they were said to be rulers of all the Russias, however there are other Russias as well. Red Russia is now western Ukraine, in a region known as Galicia, and Black Russia constitutes the Northwestern part of Belarus along the Memel river.

The original Russian title is "государь всея Руси", "overlord of all Russia", rather than "all Russias". It was a title of superiority over all the principalities of Rus: Novgorod, Vladimir, Suzdal, etc. The title belonged to the leader of the dominant principality. Eventually, Vasiliy III united all the lands and actually became the overlord of all Russia (with the exception of lands in Polish hands).

By the time of Peter the Great, the title evolved into "всея Великия и Малыя и Белыя России самодержец" (sovereign of all Great, Minor, and White Russia), which is the form that u/HiggetyFlough is referring to. Soon after, the enumeration of Russias was gone from Peter's title, and he was only "Император и Самодержец Всероссийский" (Emperor and Sovereign of all Russia). This was how that part of the title remained until 1917.

The direct translation from Russian of this part of the Imperial title is actually more like "Emperor of All Russia" (https://en.wikipedia.org/wiki/Emperor_of_All_Russia). It was adopted by Peter the Great together with the Imperial title and is based on the earlier title of "Tsar and Sovereign of All Rus" used since the 16th century. The idea here was that the sovereign's rightful rule extends over all Rus or Russian lands, including those that might be under control of other states, which usually meant the Polish-Lithuanian state in the 15th-17th centuries which controlled a lot of Ukrainian and Belarussian territory. It was basically a way to make a claim to all those lands.

Edit - Sources:

• Cherniavsky, Michael, 'Khan or basileus: An aspect of Russian mediaeval political theory', in Michael Cherniavsky (ed.), The structure of Russian history. Interpretive essays (New York: Random House, 1970), pp. 65–79.
• Lehtovirta, Jaakko, Ivan IV as Emperor. The imperial theme in the establishment of Muscovite tsardom (Turku: Painosalama Oy, 1999).
• Poe, Marshall, 'Moscow, the Third Rome: The origins and transformations of a "pivotal moment"', in Jahrbücher für Geschichte Osteuropas, 49 (2001), pp. 412–429.
• Bogatyrev, Sergei, 'Ivan IV (1533–1584)', in Maureen Perrie (ed.), The Cambridge History of Russia, Volume I: From Early Rus' to 1689 (Cambridge: Cambridge University Press, 2006), pp. 240–263.