I'm puzzled over this photo. GDss Olga,her husband Prince Petr and...
The caption says a young woman is a Princess of Oldenburg, sister of Prince Petr. As we know Petr was the only child of his parents. May be she is his cousin?

They are very informal and relaxed!
Just to answer my own question and surprise some experts

That's not Daria of Leuchtenberg who was never close to Olga or Petr. That's a dear childhood friend of GDss Olga and a cousin of Prince Petr, Sophie von Daehn, nee Sheremeteva, daughter of Countess Elena Stroganova and thus a granddaughter of GDss Maria Nikolayevna.
Sophie was a friend of Olga and some other Romanovs, more info on her could be found here:
http://forum.alexanderpalace.org/index.php?topic=6444.30Recently I've done a research on Sophie's mother and Sophie itself, so came to the discovery who's that woman with Olga and Petr.