I would like to refer to my previous post regarding a similar question here. To that I would like to add that Russia would have been even more difficult to "take over" as it vast, liguistically and culturally far apart from the other axis nations and had a rather enthusiastic political movement that wasn't super fond of kaisers and tsars growing within it.

There's always more to be said of course but fundamentally the reasons I outlined in the above post holds true for annexation and puppeting of any country.