BARON Hans Heinrich Thyssen-Bornemisza, a Swiss industrialist who owns one of the world's greatest private art collections, is lending three of his favorite American paintings to newly-named Ambassador to Russia, Thomas Watson, to hang in the U.S. Embassy in Moscow.

Fifty-six other old masters owned by the baron will be exhibited at the National Gallery here beginning Nov. 15 in a show that will travel later to eight other museums around the country. Thyssen-Bornemisza, whose father and grandfather were also well-known collectors, bought his old masters, valued at $100 million, to fill in the family's three-generation collection.

Another 108 American and European masters of the late 19th and early 20th century are currently on a traveling exhibit of museums in Australia.

Outside art circles, the baron is better known as the former husband of Jet Setter Fiona Thyssen, the older woman Aristotle Onassis's son, Alexander, was planning to marry over his father's protests when the young Onassis was killed in an airplace accident.

The Thyssen paintings that are going to Moscow were borrowed through the Andrew Crispo gallery in New York. They include a 1954 Georgia O'Keeffe, "From the Plains, II"; a Richard Estes tempera, "People's Florists," and an N. C. Wyeth, "Kurner's Farm," which was formerly on loan to the White House.

The Watsons will also be taking with them to the U.S.S.R., a David Ligare, a Jon Carsman and a two-panel Lowell Nesbitt, "Three Moonlit Iris," which the artist had hanging in his own house -- a converted firehouse in Manhattan.

Crispo, active in helping the State Department with its "Art in Embassies" borrowing program, also helped the Federal Reserve's Paul A. Volcker find something restful for his office.

Mrs. Watson decided to take a lot of American art with her as "camouflage" for an embassy that has been described to her as dreary and dreadful. She reportedly had a letter from the wife of her husband's predecessory, career diplomat Malcolm Toon, warning her that nothing matched and everything was threadbare.

Mrs. Watson invited "Sister" Parish, who decorated all Jacqueline Kennedy's houses in the days of Camelot, to bring her partner, Arthur Hadley, to Russia next week to help her shove the furniture around.

Headed for the attic is the out-dated old mile-long table and its rows and rows of chairs. Mrs. Watson is going to bring small round tables, which have been fashionable for 20 years in this country, to the Soviet Union.

When anti-shah Iranians took over his family's Pahlavi Foundation in New York, the new board members discovered that under IRS regulations they must start disbursing a regular percentage of its assets to charitable and philanthropic causes. So the Foundation will soon start playing Santa Claus with an estimated $5 million a year, all of it earned by the Foundation's new office building at 650 Fifth Ave. But no one wants the shah to get credit, so the name is being changed officially in court to the "Alevi Foundation." That's Persian for charity . . .

The newsletter is called the TAB (for The Adult Business) Report, and it is a newsletter for "owners and managers of adult bookstores, massage parlors, peep shows, movie theaters, burlesque houses, escort services, go-go bars and swingers clubs." There, on page six of the September issue, is a picture of Margaret Trudeau taken at Studio 54 that leaves nothing to the imagination . . .

According to friends, Eunice and Sarge Shriver are fixing up a couple of rooms at their Foxhall Road estate for Rose Kennedy's recuperation. Not only will she be where she can get loving care, but she will also be nearby when Sen. Edward M. (Ted) Kennedy makes his announcement next month . . .

The FBI's favorite restauranteur, Steve Ziotas, owner of the Hummel's hangout, where agents have congregated for decades, is taking over Cregory Tu's old "Orchid 7" at The Foundry in Georgetown.