of course, it's imaginable, the Nicholas II had the biggest royal train pool of the world, altogether 4 or 5 trains. The two of them (most modern) were the train with 10 waggons built in Germany 1896-1897 (for the Russia travels, see the waggons on the pic above) and another one with 11 waggons built 1894 also in Germany (especially for Europe, probable exactly the russian version but for the smaller european gauge).
The "chimneys" train was built in Russia indeed. It's like the crushed train, 1851 model, I guess it was built some years later.