Besides footage from The Adventures of Robin Hood (1938) - for Don Juan's escape into the night - footage from The Private Lives of Elizabeth and Essex (1939) was used for Don Juan's entry into London. A decade-younger Errol Flynn can clearly be seen as the Earl of Essex in the distant shots as he leads his entourage through London to the palace just as Don Juan is doing in the later film.
There are several references to the city of St. Petersburg, Russia, in this film set during the reign of Queen Elizabeth I. The said city was not founded until a century AFTER that queen's death in 1603.
When the ambassador seals the letter, he drips wax for the seal and there is a trailing drizzle of wax on the paper, but when Don Juan is handed the letter, the seal the firm and there is no trailing there.
In the scene where Leporello is shaving Don Juan, he clearly completes shaving the right side of Juan's face. But when Juan takes the razor to complete the job, we once again see lather on the right side of his face.