A great many records were held by the Foreign and Commonwealth Office because many of these folk were ex-pats, not in self-governing countries, but I have recently discovered that they more or less closed their library a while back and the stock was dispersed to King's Collge, London, National Archives etc. However if you google Foreign and Commonwealth Office Library there are guides to what went where and they also seem to have some sort of research unit still handling stuff there. Give them a try, if they have passed the stuff on they should be able to point you in the right direction.