Source, in full
Reported by Albert J. Beveridge, "Two Great Men of Russia / II. Pobedonostseff", in The Saturday Evening Post, vol. 175, no. 5 (2 August 1902), p. 7, col. 3. The Russian Advance (New York: Harper & Bros., 1903), ch. 29 (p. 461)
Variants
"Russia is not a state, but a world."