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See this wiki for Vauxhall and the Russian Connection. (1.1 in the index)

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There are competing theories as to why the Russian word for a railway station is Вокзал (vokzal), which coincides with the canonical 19th century transliteration of "Vauxhall".

It has long been suggested that a Russian delegation visited the area to inspect the construction of the London and South Western Railway in 1840, and mistook the name for a generic title of the building type. This was further embellished into a story that the Tsar Nicholas I of Russia, visiting London in 1844, was taken to see the trains at Vauxhall and made the same mistake. However, the L&SWR's original railway terminus and the associated railway yards were always better known as Nine Elms.

A more likely explanation is that the first Russian railway, constructed in 1837, ran from Saint Petersburg via Tsarskoye Selo to Pavlovsk, where extensive Pleasure Gardens had earlier been established.

In 1838 a music and entertainment pavilion was constructed at the railway terminus. This pavilion was called the Vokzal in homage to the Vauxhall Pleasure Gardens in London. The name soon came to be applied to the station itself, which was the gateway that most visitors used to enter the gardens. It later came to mean any substantial railway station building (a different Russian word, stantsiya, is used for minor stations).

The word "voksal" (воксал) has been known in Russian language in the meaning of "amusement park" long before the 1840s and may be found, e.g., in the poetry of Aleksandr Pushkin: На гуляньях иль в воксалах / Легким зефиром летал (To Natalie (1813): "At ftes and in voksals, /I've been flitting like a gentle Zephyrus" [here "Zephyrus" is an allegory of a gentle, warm and pleasant wind ]) According to Vasmer, the word is first attested in the Saint Petersburg Vedomosti for 1777 in the form фоксал, which may reflect an earlier English spelling, Faukeshall.