WASHINGTON — When Aleksandr Zaporozhsky, one of four Russians delivered to the West in this week’s spy swap, joins his family in the United States, it will be only the latest unexpected twist in a classic story of espionage and deception. For several years in the 1990s, Mr. Zaporozhsky, a colonel in Russian intelligence who became deputy chief of the American Department, was secretly working for the C.I.A., one of the highest-ranking American moles in history, Russian prosecutors say. After surprising his colleagues by retiring suddenly in 1997, he moved with his wife and three children to the United States...