From what I could dig up, it doesn't seem like they maintained much contact with the family, although I could be wrong.
Arsen, also called Assene, born Assene Ludwig Alexander, m. 1934 Bertha Hussa and apparently settled in Austria. He was her third husband and they had no children, although her son Wilhelm by a previous marriage took the name von Hartenau and became a doctor in Austria.
Johanna died in Vienna so she may be buried there. Alexander is buried at the Battenberg Mausoleum in Sofia.
Zwetana, born Marie Therese Vera Zwetana, m. 1924 in NYC Charles Boissevain and died 1935 in Germany without issue.