Possible Clues:

• A form of satanism mostly associated with a Russian princess
• Bolshevik victim of 1918
• Russian Grand Duchess, who probably didn't escape the Romanov massacre
• Movie about a lost Russian princess
• Russian princess claimed to have survived revolution
• Grand Duchess in Anderson fairy tale?
• Stories secret police put to a child of the Tsar
• Grand Duchess from a boundlessly unpleasant part of the world
• Subject of Wordsworth in retirement
• Daughter of Nicholas