First, it's probably almost impossible to "track" it they way you described. Drones fly faster than helicopters and even if not, drones don't just sit and wait to be intercepted. By the time helicopters or jets would be scrambled, the drone would be long gone.
Second, I'm fairly certain that it's not necessary to track them visually by following them. They're already being tracked by radars and scanners.
Third, why? So you track the drone all the way to Russian borders, you cannot enter Russia or you will violate their airspace and risk getting shot down and escalating further. So now that you know where it came from, what's next?
If they gave me a visa, for free, no strings attached, I would wipe my ass with it and hand it back.
You'd have to pay me to go live in that shithole.