Tsar - tsaari
Emperor - keisari
Empress - keisarinna
Palace – palatsi
St. Peterburg - Pietari
Winter Palace – Talvipalatsi
Grand duchess – suuriruhtinatar (actually duchess meaning “herttuatar”, and princess is "prinsessa" or "ruhtinatar", but in finnish “prinsessa” is daughter of king. Example Grand Duchess Anastasia Nikolajevna is “suuriruhtinatar A.N.”, Princess Sonia Orbeliani is “ruhtinatar S.O.” and Princess Alix is “prinsessa A.”…) Complicate!

Alexander Palace - Aleksanterin palatsi
Catherine Palace - Katariinan palatsi
Tatiana – Tatjana
Alexandra – Aleksandra
Nicholas – Nikolai
Elizabeth – Elisabet
Alexander – Aleksander (but example Alexander III – Aleksanteri III)