As previously stated in other posts, by other people, there was a latter that Hopper could have gone down and escaped death. He could have also jumped into the gate before it closed. However, if thats true, then maybe the Russians never actually captured Hopper. I mean think about it... The gate is closed, although obviously not fully or the Upside Down creatures would ALL be gone! And if he jumped into the gate, maybe the captured him if they have another. Bit if he went down the latter, how would they have captured him? The American military raided the place, and no Russian was still there. So how would they have captured him, they wouldn't have tried and risked getting caught for someone they have no use for. Unless they were all hiding in some hidden area in the base, that the Americans never found, that Hopper stumbled into!
How did they figure out how to build the gate in the first place? Brenner maybe? It would explain how he is nowhere to be found, because he's a prisoner.
If it was Brenner, that would explain why they never wanted to kill him, because of his knowledge, to rebuild the gate.
If it was Hopper, wouldn't they just have killed him? He has no real value to them.
If it is Brenner, and Hopper is stuck in the Upside Down, with no portal out, then maybe Brenner, helping them rebuild the gate, helps Hopper to escape?
However it seems more plausible to say it Hopper, since he did "die" earlier on in this same episode, making it a cliffhanger of him being alive. But wouldn't that be to obvious?
I think its Brenner, because they said he was alive before, yet never continued this, never said anything else about it. That makes more sense for it to be said more about it, in the fanale for season 3, right?
Just a theory!
I have one more theory that would explain, if it is Hopper, why they kept him alive, although for this show, because they never explored this avenue before, it seems very unlikely:
It is Hopper, and they kept him alive so they can brainwash him, and use him as a Russian spy once the send him back home. As a sleeper agent for the Russian Government.
Again this theory is extremely unlikely though, again just a theory.