Well, my first Romanov book was "Alexandra" by Elisabeth Herresh, but I am not sure if it was ever published in English. In any case, it is not the best book out there.
I think I would recommend
* Nicholas and Alexandra by R.K. Massie
* The Last Empress by Greg King
* Romanovs: Love, Power and Tragedy by A. Bokhanov (easy to read, accurate and STUFFED with photos, not a cheap one though)
* Fate of the Romanovs by G. King and P. Wilson
* Romanov Autumn by C. Zeepvat