The title of this episode refers to the Arlen-Harburg song from the 1939 film The Wizard of Oz. As the war breaks out, cinemas are closed in London, leading kitchen maid Eunice to wonder whether she'll ever see that film. Apparently, the song was already quite popular in Britain before the film was released.
Mrs Thackeray mentions that Lady Malcolm, the titled lady who organizes the Servants Ball, is the daughter of Lily Langtry. Lily Langtry (1853-1929)was an actress renowned for being one of King Edward VII's mistresses. Though she did have a daughter with her husband, there was always a suspicion that the girl was the king's child.
The movie Miss Whisset and Mr Pritchard go to see is the 1939 drama 'Love Affair' starring Irene Dunne and Charles Boyer. Its tragic ending somewhat foreshadows the conclusion of one of the story lines of this episode.
The story of the original show started in 1903 and ended in 1929, though it was all filmed in five years. As a result, the characters didn't age properly. Rebooting the show in 2010 and setting it in 1936 solves that problem. Jean Marsh has actually reached the age her character Rose would have had by then.