In an interview to Alfred Appel (included in Strong Opinions, 1974) VN says that the Zemblan crown jewels (vainly looked for by the two Soviet experts) are hidden in the ruins of some old barracks near Kobaltana:
And as a closing question, sir, may I return to Pale Fire: where, please, are the crown jewels hidden?
In the ruins, sir, of some old barracks near Kobaltana (q.v.); but do not tell it to the Russians.