The Caspian Sea is a lone body of water south of Caucasus and north of the Middle East. It is also not connected to any other sea location and does not have a zone number. Here is how it appears in Axis & Allies 1941:
Is it permitted to build a ship in this location in any version of Axis & Allies? I realize that it is rather impractical to do so, but in the rare chance that you want to invade a bordering country with some naval support on your side and have the ability to pull it off, is it permitted to build a ship in it?