Both languages are Indo-European. The older the word, the more likely it to have some resemblance in both languages. Then, of course, there are loan words (I don't think this one of them.)
If anything, it's strange there aren't that many of those "coincidences".
Wiktionary says that "странный" (strange) as well as "страна" (land, country) both are from "сторона" (side).
A bit of nitpicking: страна is not really derived from сторона. They both come from the same Proto-Slavic word, but сторона is the original Russian word, while страна is a borrowing from Church Slavonic (cf. город/град, холод/хлад, золото/злато).
what's the adjective for страна if it isn't странный?
странский, странневой, странновый, странческий... all seems wrong.
It's "страновой". However Wiktionary doesn't have this word and insists on "страновый". I guess, the fact that I had to google it to be sure, despite being a native speaker, shows that it's not the most common word in Russian :)
Perhaps they haven't added it to their database yet? You should definitely report it.