Natasha wanting to save Yelena while Yelena wants to surpass Natasha makes a good hook. Yelena and Natasha would have to fight each other at some point, but I don't want Yelena to be the villain of the story.
Alexi Shosatkov, the Red Guardian (though not called that, as the Cold War's over, grandpa) would be interesting as a the main antagonist. Maybe he and Natasha knew each other when she was working for whoever she first worked for. As superhero movies do a lot of "character mashing" maybe he will become the Crimson Dynamo in the climax.
Adding "superhero flair" to a Black Widow movie could be Russia trying to start their own Avengers, called Winter's Guard. A team in case a portal opens and an alien invasion happens in Moscow makes sense, with the fears of "Superheroes are created to fight World War III." This actually gives a moral weight to a "superhero spy-fi story."
There are a lot of Marvel Russian characters. Titanium Man, Darkstar, Vanguard, Starlight, Ursa Major, and Gremlin. As superhero movies rarely use codenames anyway, they would probably use their "real" names.