Russian threat to increase military in the Baltic region, including nuclear, is "nothing new", Lithuania's prime minister Ingrida Simonyte said on Thursday.

"That Russia threatens, it is nothing new," she told reporters. "Kaliningrad is a very militarized zone, has been for many years, and it is in the Baltic region".

Russia's Kaliningrad exclave, on the shore of the Baltic Sea, is sandwiched between NATO members Lithuania and Poland.

One of Russian President Vladimir Putin's closest allies warned NATO on Thursday that if Sweden and Finland joined the U.S.-led military alliance then Russia would have to bolster its defences in the region, including by deploying nuclear weapons.

(Reporting by Andrius Sytas in Vilnius; Editing by Toby Chopra)