The train station Phillip is dropped off at, also serves as the train station stop shown in the flashback to Russia, with Irina. Soviet propaganda posters were put up at the stop as a set dressing.
The character of Andrzej Bielawski is loosely based on the real-life priest Jerzy Popieluszko who was a Polish Roman Catholic priest who became associated with the opposition Solidarity trade union in communist Poland. He was murdered in 1984 by three agents of Sluzba Bezpieczenstwa (Security Service of the Ministry of Internal Affairs), who were shortly thereafter tried and convicted of the murder. He has been recognized as a martyr by the Roman Catholic Church, and was beatified on 6 June 2010 by Archbishop Angelo Amato on behalf of Pope Benedict XVI.
Claudia's line, "I'd hate to see you throw yourself in front of a train, Nadezhda. Bad things happen not only in literature," during the meeting with Elizabeth at the train station, is a reference to Leo Tolstoy's novel "Anna Karenina". Besides trains playing a significant part in the novel, it also shares many overarching themes with the show: family, duty, passion, fidelity, and social change.
The footage of President Ronald Reagan discussing the situation in Poland is taken from from his December 23, 1981, address to the nation.
Irina leaves from New York but the train station is not Penn Station. Amtrak leaves from Penn Station. The station also is not Grand Central Terminal.