Hello- I urge you to double check this - It is from my Romanov genealogy database and I don't have access to the source right handy. The book, by Lindsay Hughes (Peter the Great, A Biography (Pages 200-209 New Haven, CT, USA: Yale University Press, 2002)) is readily available. What follows is an entry I typed in related to Peter's death some time ago - Short answer - according to this source he died "...in his study, a room to one side of the Grand Hall on the first floor of the Winter Palace."
One other thing - remember that the Winter Palace at the time of Peter the Great is *not* the same Winter Palace that exists today in St. Petersburg. The current Winter Palace is the 3rd or 4th version of the building - the others having burned down.
"...Preparations were in hand for the forthcoming carnival, when on 17 January, the keeper of the court journal recorded: 'His Imperial Majesty was ill and did not deign to go anywhere.' A week later he wrote: 'Since the 17th his Imperial Majesty has been ill and lying in his Winter residence in the upper apartment' Had Peter been superstitious he would have been wary of the last week of January. His mother died on 25 January and both his father and his half-brother Tsar Ivan on the 29th. This January was also to be Peter's last. The old bladder problem recurred - no doubt exacerbated by the customary Yuletide binges and the chilly ceremony on the ice on 6 January - and he suffered days of agony as a result of inability to pass urine, and brief periods of remission. Peter's foreign doctors, in the unenviable position of having a really sick emperor on their hands, had no idea what to do. On 25 January they drew off about a liter of putrid, foul smelling urine, a procedure which precipitated another fever. On the same day they dispatched a letter to the king of Prussia, written as if by Peter in the first person but signed by Chancellor Gavrila Golovkin, asking the king to send his personal physician: 'Following a slight chill, I have been suffering from a severe indisposition' A German translation accompanied it. Infection set in. Non-medical remedies - an order for the release of prisoners 'for the sovereigns's health' and round-the-clock prayers - proved as ineffective as medical ones. After enduring several more days of pain so agonisising that it make him cry out and having received the last rights, Peter expired, according to Feofan Prokopovich's memorable account, in the sanctity of piety, between four and five in the morning of 28 January 1725 in his study, a room to one side of the Grand Hall on the first floor of the Winter Palace. He was, as official accounts meticulously recorded, fifty-two years, seven months and twenty-nine days old in the forty-second year, seventh month and third day of his reign.
Contemporary sources agree that Peter was killed by inflammation of the urinary tract which resulted in retention of urine, a condition sometimes known as gravel. The terms 'retention of blockage of water/urine' (vodianoi zapor, uriny zapr) and 'difficulty in passing water' (trudnost' v nepriazhenii vody) recur. The causes of his illness are unclear. A modern diagnosis might point to prostate trouble and Peter, with his insistence on operating on his own body, may have exacerbated the condition by using silver catheters to probe the urethra. Foreign observers tended to focus on the accumulated effects of half a century of tireless activity, both public and private. Campredon, for example, attributed the tsar's condition to 'the recurrence of an old case of venereal disease'. Bassewitz writes: 'His activity allowed him no rest and he held in contempt all types of bad weather, and the sacrifices to Venus and Bacchus exhausted his strength and led to the development of gravel.' Inevitably there were rumors of poisoning (at one point Peter apparently complained of a 'burning sensation' in his stomach), with Catherine and/or Menshikov as the main suspects, but the gravel mentioned by Bassewitz, a disease easily cured with today's treatments, seems the most likely. Even then, the famous Professor Boerhaave in Leiden, whom Peter's doctors consulted, is said to have exclaimed that Peter could have been cured with medicine costing five Kopecks if the treatment had started in time. It is generally agreed that Peter hastened his own death by ignoring his symptoms and refusing to slow the pace of his activities."