Thank you for your comments so far
.
Regarding validity of marriage if performed at the Thai embassy, I guess I can call the Visa application centre in Russia and seek advice.
Also, RiFF makes a very valid point. The main reason for choosing Russia is simply because that is where she is right now. She's working a 12 month contract, she also has no real need to return to Thailand just yet. It's also a whole lot cheaper and quicker to fly to Russia instead of Thailand.
But I can just imagine the ECO asking "So, why did you marry in the Embassy without any family members present?".... a solid answer might be difficult to find unless the above is enough, however, if the marriage
IS valid and legal, should it really matter where it took place....
why is this so complicated