From what I can recall during filming of those movies:
GoldenEye -- EON did go to St. Petersburg where they filmed some scenes but most were not there. They had planned to shoot some of the tank chase there but ultimately felt that the streets couldn't support the weight of the tank.
Except that they did shoot portions of the tank chase in St Petersburg. You think they built a river on the backlot?
St Petersburg airport:
Ascot Race Course
Epsom race course.