Helga Albrecht died because she knew too much
Fargo: A True Story tells us Meemo and Yuri Gurka were recruited by Varga as children or, more likely, adoloscents - both were orphans on the street. This goes some way towards explaining their loyalty to him. This implies that when Yuri was living in East Berlin and dating Helga Albrecht, he was already working for Varga. Yuri is a bloodthirsty brute, but seems too professional to murder Helga in a fit of anger even if she 'talked too much' while working some kind of covert operation for Varga. My guess is Helga found out about his job and either talked to East Berlin law enforcement ('talked too much') or planned too, so Yuri killed her either on Varga's orders or his own initiative. This also confirms that Varga at least operated his schemes in the Soviet Union before its fall and potentially implies him to have government (likely KGB) connections there - if Helga already 'talked', then the cover-up we see taking place at the start of Season 3 with an innocent man being framed was likely orchestrated by Varga or by state-level contacts for his sake.