have you ever been there (here) or have you ever been TO there (here)?
I've never been to (somewhere) - it is correct, as I understand. Is it still correct I've never been in (somewhere)?
And how to ask it in a question?

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To me 'I've never been in Russia' is not incorrect, but it is not as natural as 'I've never been to Russia'. 
No 'to' in the question. Have you ever been here? What about Australia? Have you ever been there?