Please read Alexey Sklyarenko's annotations on Pale Fire, Ada and other Nabokov works here.
In his Commentary and Index 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 Aros and Grindelwood, fine towns in East Zembla: