some filming was done in chicago and some in Universal's California studios.
an article from a 1985 issue of alexandra tomalonis's WASHINGTON DANCEVIEW by Suzanne Levy (now Carbonneau) gives much information about the filmmaking in the US. in 1915 - apparently the chicago locale was to allow for filming to go on concurrent with a season Pavlova and co. were having in the area.
my yellowing issue of WASHINGTON DANCEVIEW came into view by sheer chance when i was moving some papers soon after acquiring these photos.
the outdoor picture shows the ballerina as Fenella climbing down a wall, clearly a piece of scenery painted to look like stone; the indoor (candid?) shot shows the ballerina seated next to Douglas Gerrard, who played the script's Albrecht-like Alphonso (son of a Spanish Viceroy).
this second, smaller photo is inscribed as having been "photographed and tinted by Mireio de Coriche'.
according to Levy's article Pavlova agreed to this film project in order to help support her stage production of Auber's opera LA MUETE DE PORTICI, with the boston grand opera, which the ballerina was touring around this same time and on which theme the film was somewhat loosely based.