@MAX1313 They do not have to give it back. In fact, they address this specifically in the V2 Rulebook:
"9.18 Voluntary Return: If a land zone you capture does not belong to your Alliance you may
return it to its original owner (i.e. nation whose roundel is printed on the map). This is usually the
case when the Soviet or Allied players recapture land zones that belong to the other. To return a
captured zone simply announce your intention to do so and move all of your units from the zone.
Remove your roundel and place the receiving nation’s roundel on the zone. "
So, you CAN choose to return it to them if you want, but are not obligated to. I don’t know off the top of my head a particular reason you’d want to do this with, but if something is going to affect victory points one way or another in your favor, you’d almost certainly consider it!
Sounds like a very ambitious attack! Just remember, Allied players would have to take Denmark from the Axis first in order to pass through the Danish Straight, and then conduct an amphibious assault on a city to take Leningrad. Seems like a lot of effort and resources, but that’s just me!