In 2010, the Baron is on the Royal Express looking for the Romanov treasure. He is somewhat unplesant to the other guests and insists that only he is going to be able to find the treasure.
After Frank and Joe do some snooping in his comartment, they discover family trees the Baron has that indicate that he is a descendant of Rasputin, the tsar's advisor, rather than the Romanovs. They eventually get him to confess that he is Grigori Rasputin's great grandson.
The Baron's eyes seem to command the truth from people, just like Rasputin's. Frank and Joe comment that he is losing his mind at the end of the game, and he definitely seems shady.