It was founded many years ago by a moose cow, hence its name. Say "moose cow" in a fake Russian accent and you can see how the current name came about. Anyway, the moose was searching everywhere for its lost calf. It grew tired and laid down for a nap. When it woke up, it thought that its lost calf was suckling milk. Instead, it was two small human children. Try as she might, they would not let go of her teats. So she made the best of it until they finally had to burp so she could run away.
These two humans would name themselves Romulus and Remus. At some point they found a copy of Ancient Rome Comics #47 and discovered their origin story was already taken. So then, the two renamed themselves Vladimir Lenin and Joseph Stalin. Like the two Roman legends, they eventually wrestled for control of Moscow, which was just the two of them at this point.
Stalin eventually made a peace treaty with Lenin, building a city hall for Lenin, now mayor. However, when Lenin moved in, the uranium it had been built from took its toll, transforming him in NEPMan. He then launched himself into outer space in order to spread the word about the (temporary) benefits of capitalism including Big Macs. Stalin, immune to radiation because he was brainless, moved in to city hall and took control. And the rest was hysteria.