I think that an Austrian intervention in the Crimean War, for which they get the mouth of the Danube, could be a good POD. With the Russians cut off from a European route to take Constantinople (their dream warm-water port), perhaps they focus East on Persia.
During the Russians' push into the Turkish territories they also start pushing south, into Persia. The British resist this, but the Russians, fully focused on Eastern expansion, push much harder than the British. By the end of the 19th century, the Russians have turned Persia into a full-fledged satellite, and have control of the National Persian Railway Company (ala the Manchurian Railway system).
The Russians now have an "Indian Ocean Fleet" and a complete rail system linking Russia to Persia. They also have a border where Russian and British troops and ships can actually clash.
Good?