Michael Pearce, Dmitri and the Milk Drinkers
(Available from used booksellers.)
Dmitri Kameron (his grandfather was Scots) is approached by Anya Semeonova at the courthouse in Kurtsk, asking him to escort her outside for some air. Then she disappears. It appears she has somehow been taken away as a part of a convoy of prisoners headed for Siberia. Dmitri, a young lawyer and the low man in the Kurtsk hierarchy, has to try to find her. And he does, but becomes involved in the complex life of the prison camp. And discovering a mass shooting of prisoners (which Anya witnessed) on the way to the camp. Not actually a mystery, more of a novel of manners set in Russia in the late 1880s. Pearce seems to have a thorough understanding of the culture of the time, and a feel for the places (and politics) of Russia. The "milk-drinkers" of the title are a Christian sect (https://en.wikipedia.org/wiki/Molokan) which was quite unorthodox (it dates to the 14th century); drinking milk during religious days and festivals is one of their practices.
This is the first (of 2) books featuring Dmitri Kameron [the second is Dmitri and the One-Leggged Lady (1999)], and it is excellent. Pearce is the author of the Mamur Zapt novels, set in Egypt in the 1910s, featuring Gareth Owen as the (British) head of the (Egyptian) secret police, and of the Sandor Seymour books (he's a multilingual officer with England’s Special Branch in the early 1900s); both series are, at their worst, very good.