Although technically Russia and Norway share a land border, you would have to drive thousands of miles through extremely remote arctic areas, where the major routes are single-lane roads and the nearest settlements may be hours apart. If one is worried about underhanded tactics by the US, this seems quite a dangerous way to go.
If flying is out for any reason, I agree it would be a more cumbersome undertaking getting down south.
Then again, nothing stopping the PEN and Snowden from turning it into a PR spectacle by handing over the price at the border crossing - with Snowden in Russia and the PEN crew in Norway, bridge of spies style. Would highlight the absurdity of it all.