The outside of Christiansborg palace is referred to as 'the residence of the Prime Minister', Polonius - in real life it houses the folketing (the Danish Parliament.)
Prince Georgiev's royal palace is the building of the ex royal palace in Sofia, Bulgaria.
All about Belavia is in fact Bulgaria: the nature, the songs, the language and the 'rakia' drink.
There is a fourth movie in the series, but not found in the system or referenced in the first three.
The building shown in the film to house the Folketing (the Danish Parliament) is in fact the University of Copenhagen - founded 1479. The shown imposing building, however, was built in 1831.