Yeah, that is such a vast expanse of land that the Romans would likely have names for each region - Sarmatia for the Steppe, Varangia/Russia for the Russian/Belorussian woodlands, Lithua (or a greek term for Lithuania) for the Baltic coast. But for all of it? Grand Rus - which does sort of exclude the Steppe.
The Byzantines historically brought the region under their cultural influence as Kiev, I can see Kiev being set up as the capital of such a client state - The Grand Rus, or Kiev are both sensible names, and could easily have Poland slipped in under their remit. Moscovy is too far away, and they'd rather bring the power base of their client state closer to Constantinople.
Then again, whilst not EU4 convinient, I imagine the Romans, if they had Poland, Lithuania (and later Russia) under their control, would likely have a vassal King in Kiev and another in Sandomierz (not Krakow, I'll explain in a second) - and since they encircle Hungary, they'd be pressuring Hungary or invading - whilst bringing Wallachia & Moldavia under direct control, and expanding the Dnieper, Dniester, the San, and (if affluent), build a canal between the Dniester and the San - ensuring that at least in the summer months, there is a direct logistics route between Constantinople and the capitals of the client states - dragging them into the Roman economic sphere. (An alternative is something like the Augustow Canal, but I dislike that route).
But an overall name? If you have Europa, Asia, Africa, etc - you might well refer to Poland, Russia, Scandinavia, etc as "Hyperborea".
However, using the Latin names? - Ruthenia (Russia/Ukraine/Belarus), Sarmatia (Eastern Europe, Poland, Ukraine, Russia), Lechia/Polonia (Poland).
