As of 1/21/2016, this achievement is now obtainable with v22.214.171.124.
As of the initial release, this is currently unobtainable. Level 36 and Level 44 do not load, preventing this achievement from being unlocked. The developers have confirmed this issue, and the fix should arrive with the next update.
The babushkas (or nesting dolls) are typically in out of the way or hard to reach areas. There is one per level, and they grant a large bonus to points. These do not have to be collected in the same run as a 3-star run - just finishing the stage is enough to get credit, but they will often be part of a 3-star run due to the bonus they grant for points.