This might be what is now the Usha Kiran Palace nearby?

The palace was designed by Lt. Col. Sir Michael Filose (the grandson of an Italian, and a hereditary Scindia nobleman himself). The Scindia rulers (Maratha clan, Maharajas of Ujjain and Gwalior), who took control in the 19th century, made Gwalior one of the leading states of British India. The Lashkar district's most famous building is the Jai Vilas Palace, built in an eclectic Indo-Classical style. The spacious durbar (audience hall) has a chandelier that is reputedly the largest in the world. The Scindia family still resides there, but about 35 rooms have been converted into the Scindia Museum.