Eastern European countries and borders often changed during this time period. A city could be in Russia one year, in Poland another year, and in Austria another year.
Include the information on the naturalization index you found when you email the NARA Chicago branch. They should be able to easily find the original records, and will email/phone you and ask for your credit card number.... will copy the records, and send them to you. You might even see a picture of Henry attached to the forms. Ask for ALL the records, including the certificate of arrival....... it will answer most of your questions about this ancestor.
One more thing.... ask NARA to check to see if both Henry AND his wife have separate naturalization files. Given the date of the naturalization, it wasn't automatic that the wife would become a citizen if her husband was a citizen. Perhaps his wife was naturalized earlier when her parents (assuming she came with them) became naturalized. If you do find the entry for her, note the markings on the line to see if a certificate of arrival was issued.