Please read Alexey Sklyarenko's annotations on Pale Fire, Ada and other Nabokov works here.
Describing his life with Rita (a girl whom he picked up at a roadside bar between Montreal and New York), Humbert Humbert (the narrator and main character in VN's novel Lolita, 1955) mentions an amnesic stranger who spoke with an accent that Rita recognized as pure Brooklynese:
In VN's novel Lolita (1955) Humbert Humbert retrospectively calls his first road trip with Lolita across the USA "our first circle of paradise:"
The action in VN's novel Ada (1969) takes place on Demonia, Earth's twin planet also known as Antiterra. The phenomenon of Terra appeared on Demonia after the L disaster in the beau milieu of the 19th century:
Describing his first meeting with Shade (the poet in VN’s novel Pale Fire, 1962), Kinbote (Shade’s mad commentator who imagines that he is Charles the Beloved, the last self-exiled king of Zembla) mentions his vegetarianism:
The number 342 that reappears in VN’s novel Lolita (1955) three times (342 Lawn Street is the address of the Haze house in Ramsdale; 342 is Humbert's and Lolita's room in The Enchanted Hunters; between July 5 and November 18, 1949, Humbert registered, if not actually stayed, at 342 hotels, motels and tourist homes) seems to hint at Earth, Mars and Venus (the third, the fourth and the second planet of the Solar System).
Describing his arrest, Humbert Humbert (the narrator and main character in VN's novel Lolita, 1955) mentions a kind of thoughtful Hegelian synthesis that linked up two dead women (Humbert's mother and Lolita's mother):
In VN's novel Lolita (1955) Humbert Humbert describes Charlotte Haze (Lolita's mother) as "a weak solution of Marlene Dietrich:"
According to Kinbote (in VN’s novel Pale Fire, 1962, Shade’s mad commentator who imagines that he is Charles the Beloved, the last self-exiled king of Zembla), there is a very loud amusement park right in front of his present lodgings:
In VN's novel Lolita (1955) Humbert Humbert describes Charlotte Haze (Lolita's mother) as "a weak solution of Marlene Dietrich:"
Describing the last moments of Shade's life, Kinbote (in VN's novel Pale Fire, 1962, Shade’s mad commentator who imagines that he is Charles the Beloved, the last self-exiled king of Zembla) mentions fireflies and a bat:
Line 991: horseshoes