They are called Russian Mountains because the idea roller coasters came from Russian ice slides. These started in the 17th century and became more elaborate, being supported with wooden frames in parts. They became very popular and were copied in Europe. Eventually, someone got the idea to use wheels so that the ride could be used in warm weather, where winter wasn't so long. However, the name Russian Mountain, stuck. It is used less today, but still survives.

Goatish, It's strange, because I heard it in the podcast (englishpod). Two persons on it speak about that.

I had never heard of "Russian Mountains" before your post. It seems the earliest forms of roller coasters were in Russia and that's why Americans used the term. http://en.wikipedia.org/wiki/Roller_coaster Interesting bit of trivia!