White Nights
(1985)

Nikolai (Mikhail Baryshnikov) and Darya (Isabella Rossellini) make it to the US Embassy but her husband Raymond (Gregory Hines) is caught by the Russians. After a stint in jail however, a prisoner exchange is made and Raymond is released. Galina (Helen Mirren) helps Nikolai to escape but refuses to defect herself and stays behind.

 Thanks Mary C!