I don't know anything about spy exchanges, but based on the term I would imagine it works the other way: an American spy captured in Russsia would be traded for a Russian spy captured in the US. Do they usually trade defectors too?
To put it more generally, it would be for an American spy in Russia for any reason and under their control, for any similar Russian spy in America. Doesn't matter whether the "spies" want to go or not, nor how they got there. The spy exchange would be just window dressing for accomplishing some thing that either or both powers want.
