Please read Alexey Sklyarenko's annotations on Pale Fire, Ada and other Nabokov works here.
The characters in Quercus, a novel that Cincinnatus, the hero of VN’s novel Priglashenie na kazn’ (“Invitation to a Beheading,” 1935), reads in the fortress, include three merry wayfarers, Tit, Pud, and the Wandering Jew:
In the Kalugano hospital (where he recovers from a wound received in a pistol duel with Captain Tapper, of Wild Violet Lodge) Van Veen (the narrator and main character in VN’s novel Ada, 1969) meets Tatiana, a remarkably pretty and proud young nurse, and Dorofey, a beefy-handed male nurse:
At the end of "Ardis the First" Van and Ada (the two main characters in VN's novel Ada, 1969) visit a Russian traktir in Gamlet (a half-Russian village near Ardis Hall):
‘We must now find our bicycles,’ said Van, ‘we are lost "in another part of the forest."’
‘Oh, let’s not return yet,’ she cried, ‘oh, wait.’
‘But I want to make sure of our whereabouts and whenabouts,’ said Van. ‘It is a philosophical need.’
Telling Van about Uncle Dan's odd Boschean death, Demon Veen (in VN's novel Ada, 1969, Van's and Ada's father) mentions our Russian roulette and Irish loo that we introduced at a lucky moment in the history of Western casinos:
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 whom he and Rita discovered in their hotel room and who spoke with an accent that Rita recognized as pure Brooklynese:
Describing his life with Lolita in Beardsley (a small University town), Humbert Humbert (the narrator and main character in VN's novel Lolita, 1955) mentions Butler’s Academy for Boys:
I did my best, your Honour, to tackle the problem of boys. Oh, I used even to read in the Beardsley Star a so-called Column for Teens, to find out how to behave!
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), Shade's face reminded one of a fleshy Hogarthian tippler of indeterminate sex:
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), the Zemblan Revolution broke out on May 1, 1958:
At the end of his Commentary 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) says that he has suffered very much, and more than anyone can imagine:
In VN’s novel The Real Life of Sebastian Knight (1941) Sebastian Knight (who used to draw a black chess knight to sign his stories) dies in a sanatorium in St Damier (near Paris). As Sebastian's half-brother V. points out, damier is French for “chess board:”