Well so far every DLC of Fallout 3 and New vegas took place in the sourounding areas of Washington DC and Las Vegas, which makes sense. However in Fallout 3 you did go to space with Zeta.
There is a Fallout 3 mod called "Mothership Zeta Crew", the Terran Starship Command in which you control a whole new faction (fully voiced etc.) and you actually go to Moscow for a couple of quests. It's probably the best mod of its kind; I just hope Bethesda will see it as an example because it would be really interesting to see what's going on in Europe.