Searching for Doyle's works banned in USSR in 1929 yields nothing about The Adventures of Sherlock Holmes, save for this question and one comment on LiveJournal. However, searching the Russian Wikipedia article for censorship in USSR, I found an entry about Sir Arthur Conan Doyle's The Maracot Deep.
The novel was published in USSR in 7 chapters (while it was published in two parts in The Saturday Evening Post and The Strand Magazine before being collected in one book in 1929) from 1927 to 1929. The last chapter, published in 1929, was severely reworked. In particular, every single reference to "The Lord of the Dark Face", and anything mystical, was purged, with the following note by editors:
Конан Дойль, увлекающийся в последние годы оккультизмом, настолько перегрузил конец "Маракотовой бездны" эпизодами и подробностями из "потустороннего мира" (до чертовщины и черной магии включительно!), что редакция "Следопыта" вынуждена была прибегнуть к сокращению отдельных кусков и разговоров этой части романа, совершенно неуместных на страницах журнала и нелепых с точки зрения нашего читателя, которому рассуждения о "вечной борьбе добра и зла" и мистические измышления о способах изгнания дьявола - просто скучны и смешны. Досадно за талантливого писателя, который не только докатился до мракобесия, но и проповедует его наивными приемами, лишенными даже тени оригинальности и новизны
Taken from an interview with Soviet writer and translator Aleksandr Sherbakov
Conan Doyle, who is taken an interest in occult lately, used so many "otherworldly" episodes and details in the ending of "The Maracot Deep" (including satanism and black magic!), that the editors of the "Pathfinder" had to resort to cutting some of the passages and dialogues in the last part of this novel, passages that are absolutely out of place on the pages of this journal, and make no sense for our readers, who will find discussions about "the eternal fight between good and evil" and mystical discussions about exorcism boring and laughable. It is said to see that such gifted writer has not only come to occultism, but also uses its naive tricks, which lack even the trace of originality and novelty.
According to Sherbakov, the bound issue of the Strand from 1929 was even missing from the library, where he went to read the last part of the novel in its original language. He attributes the censorship and changes done to the following passage, a speech by the the Lord of the Dark Face:
You wonder how I can injure them. I have powers, and they are not small ones. I can sway the minds of men. I am the master of the mob. Where evil has been planned there have I ever been. I was with the Huns when they laid half Europe in ruins. I was with the Saracens when under the name of religion they put to the sword all who gainsayed them. I was out on Bartholomew's night. I lay behind the slave trade. It was my whisper which burned ten thousand old crones whom the fools called witches. I was the tall dark man who led the mob in Paris when the streets swam in blood. Rare times those, but they have been even better of late in Russia. That is whence I have come.
Emphasis mine, taken from this edition
Obviously, censors could not allow such speeches, so they had it reworked, and inserted some passages of their own. The Maracot Deep remained censored until 1990.
As to how this is connected to Sherlock Holmes, I was able to find no evidence. Maybe Sherlock Holmes was rage-censored because of this novel. Maybe it happened to be in the same issue of Strand.
One work about Sherlock Holmes that was banned in USSR was the film The Adventures of Sherlock Holmes and Dr. Watson (ironically, the film is of Soviet production), because it referenced the war in Afghanistan. To lift the ban, Holmes' line about Watson being to Afghanistan had to be re-recorded to Watson being to "some Eastern country".