According to Themo Melikidze (Yuri's actor), prison sequences are actually shot at an actual maximum security prison.
Mcgee got the idea of pretending to be a lawyer from Bishop in S.11 E.9 :'Gut Check', Bishop pretends to be a lawyer she doesn't deny or confirm in the interrogation room.
Anastasia Romanov was the daughter of the last Tsar and Tsarina of Russia. The Imperial Family, including the 5 children, the youngest a 13 year old boy, were massacred by revolutionaries on July 1918. In total, 18 members of the Romanov family were killed, and the rest exiled to ensure the Royal family could never be reinstated. As Anastasia's remains (and those of her little brother Alexei) were not found with the rest of the family, people chose to believe that two teenagers hadn't been horrifically murdered (by the people now running the country) and began inventing theories about a miraculous escape, focusing on 17 year old girl. The rumours of her survival were fueled by multiple impostors popping up though the years, claiming to be the lost Princess. Eventually the bodies of Anastasia and Alexei were identified and determined to have died on the same day as their siblings.
When Nick Torres goes undercover in the prison, his name is Manny. Wilmer Valderrama is the voice behind Manny in the animated series Handy Manny.