Please read Alexey Sklyarenko's annotations on Pale Fire, Ada and other Nabokov works here.
Describing Victor Vitry’s film version of his novel Letters from Terra, Van Veen (the narrator and main character in VN’s novel Ada, 1969) mentions the Olympic Games held in Berlin and the final football match in which the Americans beat the Germans by three goals to one:
Describing his father’s death in a mysterious airplane disaster, Van Veen (the narrator and main character in VN’s novel Ada, 1969) mentions two scholars who had mysteriously vanished (perhaps dying under false names in the never-explained accident above the smiling ocean) at the ‘eleventh hour:’
When Van Veen (the narrator and main character in VN’s novel Ada, 1969) meets Greg Erminin in Paris (also known as Lute on Demonia, aka Antiterra, Earth’s twin planet on which Ada is set), Greg asks Van if Ada married Christopher Vinelander or his brother:
In VN’s novel Ada (1969) Van Veen (the narrator and main character) describes the floramors (one hundred palatial brothels built by David van Veen, a wealthy architect of Flemish extraction, all over the world in memory of his grandson Eric, the author of an essay entitled "Villa Venus: an Organized Dream"):
At the beginning of Canto Two of his poem John Shade (the poet in VN’s novel Pale Fire, 1962) mentions a singing cicada:
There was a time in my demented youth
When somehow I suspected that the truth
About survival after death was known -
To every human being: I alone
Knew nothing, and a great conspiracy
Describing the Zemblan Revolution, 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) compares the King to the only black piece in what a composer of chess problems might term a king-in-the-corner waiter of the solus rex type:
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), upon their return from the secret passage, the young Prince told Oleg "you're all chalky behind:"
Describing the discovery of a secret passage that leads from the Palace to the Royal Theater, 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 a game of chess played by Monsieur Beauchamp (the Prince’s French governor) and Mr. Campbell (the Prince’s Scottish tutor) and the wary, silent, green-carpeted steps of an escalier dérobé:
In Canto One of his poem John Shade (the poet in VN’s novel Pale Fire, 1962) mentions diamonds of frost:
Retake the falling snow: each drifting flake
Shapeless and slow, unsteady and opaque,
A dull dark white against the day's pale white
And abstract larches in the neutral light.
And then the gradual and dual blue
In his Foreword to Shade’s poem 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 a manila envelope in which the index cards with the manuscript of Shade’s poem are enclosed: