The Voice of Terror is based on the type of genuine Nazi radio propaganda broadcast by the American-born fascist William Joyce, AKA Lord Haw-Haw. He was hanged for high treason against the United Kingdom after the war in 1946, so becoming the last person executed for treason in the UK and the penultimate one hanged for a crime other than murder.
The scene in which a train goes off the tracks early in the film is footage from The Invisible Man (1933).
There is a genuine precedent for the wartime use of a Beethoven's Fifth broadcast: the opening notes unwittingly utilise the Morse code for the letter V (· · · -), which in turn echoed British Prime Minister Winston Churchill's 'V for Victory' campaign. As such, the BBC would occasionally slip the piece into their schedules as a morale-booster.
The last lines in the movie are taken from the Arthur Conan Doyle story "His Last Bow," which is set on the eve of the First World War.
The reason Holmes asks for the same piece of music again, via transcription (audio recording), is so he has a comparison of frequency responses between a live performance, and an (analog) pre-recorded one.