Closing scene, that tiny three-wheeled car was a Messerschmitt KR200. From 1955 to 1965 the Messerschmitt company, which was prohibited from making airplanes, made these tiny cars. A hard bubble canopy was removable.
Georgie reads a book called 'Self Defence - No Holds Barred', credited to stunt coordinator Ray Austin.
"The Girl from Auntie" was written to focus on Steed, allowing Diana Rigg some time off by only featuring her in a few scenes. The opposite was done on The House That Jack Built (1966).
The title was inspired by the another popular spy series at the time, The Man from U.N.C.L.E. (1964). Interestingly, Patrick Macnee would play the new head of U.N.C.L.E. in that show's reunion movie The Return of the Man from U.N.C.L.E.: The Fifteen Years Later Affair (1983).
The "Bates and Marshal Advertising Agency" is a reference to teleplay writer Roger Marshall and story editor Richard Bates.