The filming location of Sir Watkyns's residence is actually Highclere Castle, the same residence used for Downton Abbey.
This episode and it's sequel (s2e2) is based on the novel, "The Code of the Woosters", regarded by many as the acme of the entire Bertie Wooster saga. Together they constitute Wodehouse's satirical take on the Nazi Black Shirts after his German internment during World War II, when he was caught in France after the German invasion.
Roderick Spode is based on the real person Sir Oswald Mosley, founder of the Saviors of Britain, a British fascist organization in the 1930's modeled after Mussolini's Black Shirts.