Well, it is possible to get from the ocean to the Caspian Sea. In fact, you can get to both Atlantic and Indian Oceans several different ways. I copied part of an article on the Volga River below. (http://www.answers.com/topic/volga-river). I didn't see the episode so I'm not sure exactly what the situation is, but it is possible to reach Central Asia by boat.

"The Volga is of great importance to inland shipping and transport in Russia: all the dams in the river have been equipped with large (double) ship locks, so that vessels of considerable dimensions can actually travel from the Caspian Sea almost to the upstream end of the river. Connections with the Don River and the Black Sea are possible through the Volga-Don Canal; connections with the lakes of the North and with Saint Petersburg are possible through the Volga-Baltic-Waterway and a liaison with Moscow has been realised by the Moscow Canal connecting Volga and Moskwa rivers. This infrastructure has been designed for vessels of a relatively large scale (lock dimensions of 290 x 30 meters on the Volga, slightly smaller on some of the other rivers and canals) and it spans many thousands of kilometers.

Until recently access to the Russian waterways was only granted on a very limited scale. The increasing contacts between the European Union and Russia have led to new policies with regard to the access to the Russian inland waterways. It is expected that vessels of other nations will be allowed on the Russian rivers soon."

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