Chechnya is a federal subject of Russia.
Chechnya has a reputation amongst the international community of being one of the best places in the world to train a mercenary. As such, Phil Coulson named Chechnya as one of the possible places where Thor received the training needed to subdue the multiple S.H.I.E.L.D. agents he defeated while trying to gain access to the heavily custodied Mjølnir in New Mexico.
It also has a reputation for being an extremely unsafe place, where crimes such as the kidnapping of babies and children are very usual.