I'm fairly certain this isn't true... It'd be much more publicised if it was, it'd be the only one on public display if it existed. I'm pretty sure the ones at Moscow are at an off-show breeding facility.
Sadly, no Saiga in Dallas anymore. We have had them at several times over the years from both major imports in the 1960's and 1980's. I think they did fairly well and reproduced several times, but did eventually die out.