Ive had a bit of a dig around about “The Vatican Cameos” as I too am a bit of a Holmes geek.
Just flicking though my facsimile of the entire Strand published stories, Ive found the reference to the Vatican Cameos in Chapter II of “The hound of the Baskervilles” where Dr Mortimer has just read out the published details of Sir Charles Baskerville death. Holmes says that he had seen some newspaper reports but had been “exceedingly preoccupied by that little affair of the Vatican Cameos, and in my anxiety to oblige the Pope I lost touch with several interesting cases.”
Conan Doyle never wrote any more on the Vatican Cameos, but there have been some pastiche short stories written apparently.
So, no idea what it meant when he said it except to duck I guess for the benefit of Watson having already caught a knowing glance from Irene Adler.