Mine was - The Last Grand Duchess by Ian Vorres.
That book pre dates Nicholas & Alexandra by Massie by about 15 years.
That led me to Once A Grand Duke by Alexander Mikhailovich.
And so on and so on. As I have said in other threads, I was motivated by a history teacher who told us about the then current (1964) trial in Berlin to prove or disprove the identity of Anna Anderson. I wanted so badly to believe that Anastasia had survived.
My mind has changed many times after reading more and more. Of course, though DNA, we now know that no one survived. However, my impression of the whole Imperial Family has under gone constant revision as more is learned and more information is released from GARF.
I went from the "newbie" love of the fantasy and grandeur of Imperial life to the much more pragmatic view that I hold now. Nicholas and his extended family were human and had their faults as we all do.