Found this info on a cat lover's site--Olga wasn't the only one who liked cats!
Grand Duke Mikhail Nikolayevich Romanov was an uncle of Nickolay II. Despite his title Mikhail Nikolayevich was a scientist, historian and a Chairman of the Russian Historical Society. He lived with a cat, whose name is lost to history. He was arrested by the Bolsheviks. When he was led to prison he took the cat with him. He was shot in Peter and Paul Fortress on January 28, 1919 and the Grand Duke met his end with his cat on his lap. We have no idea what happened to the cat, but we hope it has been reunited with its human in Heaven.
I think you've conflated two men here! Michael Nicholaievich (died 1909) was an "uncle" of Nicholas II, being the last surviving son of Nicholas I. He was a respected military man -- I think his expertise was in artillery -- and was the Viceroy of the Caucasus during the childhood and youth of Nicholas II. He was the father of six sons and one daughter, known in the family as the "Wild Caucasians" or the Mikhailovichi. They were cousins of Nicholas II, and one of them, Alexander or Sandro, married NII's sister Xenia. The daughter was Anastasia Mikhailovich, whom we have been discussing recently.
Three of Michael Nicholaievich's sons -- George, Serge and Nicholas -- were assassinated by the Bolsheviks. Serge was killed at Alapaievsk along with GD Elizabeth Feodorovna, Prince Paley and the three Konstantinovichi princes. George and Nicholas were killed in the Peter-Paul in January 1919, along with GDs Paul Alexandrovich and Dimitri Konstantinovich. It was this Nicholas -- Grand Duke Nicholas Mikhailovich, AKA Uncle Bimbo -- who was the historian, scientist and Chairman of the Russian Historical Society.
Nicholas Mikhailovich's cat was a young white long-hair, not much more than a kitten. He DID carry it to his place of execution, but handed it over to a guard for safe-keeping.