The smallest wire I am aware of, at least in the USA is 0,000,4 diameter in Evanohm. Most modern resistor wire is coated in polyimide, my spec calls for a minimum 220°C rating, dielectric strength is a minimum of 200V even on the thinnest coating. There is no inter-layer insulation used, the voltage rating of the resistor depends on how many pi is used in the bobbin and the voltage rating usually has a significant derating in use. Wire sizes smaller than 0,001" diameter have become rather expensive, I have not requested a recent quote but my estimate is approximately $50.841 per 0,4536 Kg, so a typical spool would be somewhere in the $3.500,00-$5.000,00 range. Needles to say this size of wire is quite difficult to manufacture.
I don't know what gauge of wire the Russians used but it would take about 200,000 feet of 0,000,4" wire to make a 1 G resistor. A 10 M resistor would be about 2,000 feet. Yes winding 0,000,4 wire is definitely a strain on the eyeballs and requires a very delicate touch.
I try to stay at or above 0,001" wire to keep away from those heavy charges for smaller wire sizes.