I started reading Fitzroy Maclean's memoirs, Eastern Approaches -- he was a Scottish diplomat posted to Russia in the 1930s. It's an old Time Life series book and as such has turned incredibly brittle, but most of the books in the series are good literature and worth the detritus in your living room. Not too many Baltic references, but it's a useful "approach" to travel writing about Russia and dangerous places in general.
What's refreshing is that he's a young, upper-class but unstuffy guy, with a major thing for Central Asia (would that make him a youthful Hedinist?), who sees things under Stalin pretty much as they are. Clearly he's a Russophile, but there's no fellow-traveller element as there is with many 1930s journalists and diplomats.
His pattern is basically to pull desk duty in Moscow for a few months, then, when he gets some time off, make yet another attempt to get to far side of the Caspian, which other than Alma Ata is still very un-Sovietized at this point and off-limits to everyone.
The Central Asia parts are glamorized but there is no bombast as you would get from a T. E. Lawrence.
Wikipedia says Maclean was an inspiration for Bond. This early stuff is breezy, a series of minor misadventures.
What is particularly amusing is that he keeps on popping into the local N.K.V.D. offices, as if they were tourist info outlets, and in fact they are invariably helpful, and because he wanders so far afield at times, his handlers turn almost into sidekicks and he has conversations with them about where to eat in the countryside.