USSR stands for Union of Soviet Socialist Republics. The adjective "Soviet" is formed from the noun "Soviet" which in Russian means "Council". (That was roughly the idea behind the revolution and USSR formation that the workers and peasants should rule the state by means of "councils"). So why was some analogous word not created in English? Like "Councillous" or something. Is there some explanation or this "just happened"?
The custom of adopting the word 'Soviet' instead of calquing it predates the founding of the Soviet Union; it was popularized by the new Russian Soviet state and its first use in relation to communism was probably in 1905. For example, communists in Ireland formed the Limerick Soviet (Sóivéid in Irish Gaelic, pronounced the same) in 1919:
"soviet" (meaning a self-governing committee) had become a popular term after 1917 from the soviets that had led to the Russian Soviet Federative Socialist Republic.
[from the Wikipedia article] and was probably the first use in English. It was likely adopted as-is precisely for the communist implications, which were in vogue at the time.