In "The Facsimile" (pp. 125-126) we see that Eliot claimed to have met Marie, Countess Larisch (see Miscellanea page for line 15 ) As this historical Marie was born into the Wittelsbach royal house of Bavaria, far from Lithuania, it doesn't appear to me that this line is an actual quote from a conversation with Marie and may have come from somewhere else. Southam suggests that this quote may have been derived from the novel Tarr by Wyndham Lewis, a friend of Eliot's. In the novel, Fralien Vasek states that she is "a Russian, I'm thoroughly Russian."
Eliot reviewed Lewis' Tarr in the September 1918 issue of The Egoist.