Under the Knout by Cora Buhlert

Russia during the reign of Catherine the Great: The sisters Natasha and Irina had been born serfs, property to the wealthy lords, destined to be worked to death on the fields. Yet Natasha and Irina had been lucky, for their talent at dancing caught the eye of the powerful Countess Rashkova, who made the girls part of her personal ballet company, to dance for the delectation of the wealthy and the powerful.
But life is dangerous in the ballet company of the Countess Rashkova, for even the slightest misstep is punished most harshly. And so Natasha and Irina find themselves thrown into a rat-infested cell deep beneath the elegant Palais Rashkov in St. Petersburg. But the dungeon is only the beginning, for the sadistic Countess Rashkova and her pet, the torturer Dimitri, are about to subject Natasha and Irina to the knout, that fiendish Russian whip whose caress was once considered a death sentence.

Warning: There is quite a bit of violence in this story, so sensitive readers should tread carefully.

This is a short story of 4700 words.