The series is created by BBC Cymru Wales Drama, in partnership with The Weinstein Company and BBC Worldwide/Lookout Point, the Lithuanian Film Centre said.
"Filming is going extremely well in Vilnius. Everyone is being really helpful and supportive and we have been made to feel so welcome in this beautiful city," producer Julia Stannard said.
Lithuanian actors Paulius Ignatavicius, Valerijus Jevsejevas, Irmantas Bacelis and Vesta Grabsaite will also appear in the series.
Filming will take place in various locations around the Old Town of Vilnius, the Lithuanian Film Centre reports.
Filming, which started in early February will finish on 20 June. The series is scheduled to air in 2016.
