Oleg is Sergei's younger god brother. He used to live in the orphanage with Sergei. It seems that he had been being harassed by other kids in the orphanage including "adult things." But Sergei saved him from the most rudest bully, Vano who is probably older than other kids. Depending on your decisions in the game, Sergei either threatened Vano verbally or physically to rescue Oleg from his misery. Since then, Sergei and Oleg became close friends.
In Sergei's abandoned and bad endings, Oleg's post-war situation remains unknown.