"the lights of the Embankment"
The Victoria Embankment (c.1930) - Credit: unknown
The Thames Embankment
is a road and walkway along the north bank of the River Thames.
It consists of two sections: the Victoria Embankment and the Chelsea Embankment.
As Nan and Kitty are at Lambeth Bridge, looking towards the Houses of Parliament, they would be seeing the lights of the Victoria Embankment.