The full quotation, dating from 1 October 1939, one month after the start of WW2, is very interesting: 'I cannot forecast to you the action of Russia. It is a riddle, wrapped in a mystery, inside an enigma; but perhaps there is a key. That key is Russian national interest.'

It comes from a BBC radio address 'The Russian Enigma' -- see Robert Rhodes James, ed., Winston S. Churchill: His Complete Speeches, 1897–1963 vol. 6 (1974), p. 6161.

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