I figure this was a weird direction for them to go as the Cold War never fired a single bullet. But, I do think it offers an interesting story line to where you (the player) could experience a deep underground type story line. Like spies and other shit that's (not real) different from what happened irl. Hope it's a good one
We'll know more soon but I wonder if they're going to set it in a modern-day or near-future cold war. The non-game teaser with Yuri talking about the subversive long-game the Soviets played could have a part in that.
I do find it funny that it's a shooting game that is making a game during the time that the least amount of shooting happened. I'm sure it will have an interesting story at least.