This is just my theory/interpretation of it but when he talks about Anastasia Anderson who may have never existed he is talking about himself more specifically the character he has been playing all this time and how that person never existed at all.
When he started telling a story about how an immortal king died but left behind his heart in a jewelry box he might be talking about his own obsession with the uke because his family wants the uke dead,the knowledge they got from the uke was precious but he needs to be dead,for some reason Zhenya can't kill the uke (Zhenyas heart being the reason I believe) but he imprisons the uke in a mansion and there's no way to escape.
like i said this is just a theory i might be wrong
what the hell is zhenya yapping about in this chapter