tv/ movies: "-I've been giving myself shock treatments. -Up the voltage"?

Questions

In which fictional land did 'a girl and her dog travel to the Emerald City'?

The St. Moritz ski resort is in which European country?

What is the former name of the Russian city Volgograd?

In which country was the Auschwitz death camp located?

Which state forms an enclave at the heart of the city of Rome?