I think that both Olga and Alexei feared that they might be killed. With his usual fatalism, I think Nicholas too believed he might die, but I think he hoped that the rest of his family would be spared.
I think tho that they were also very much hoping to be rescued (as they nearly were).
The one I am least sure about is Alexandra. I've read a lot about her, and while I sometimes find her exasperating
I also find her quite a sympathetic character. But she still is quite an enigma to me. It seems to me (and I could be wrong of course!!) that she tended to swing from optimism to pessimism--not just regarding their ultimate fate, but throughout her life. When feeling optimistic, I am sure she believed that God would send someone to rescue them, as she felt Rasputin could rescue Alexei from his hemophiliac crises. But when feeling pessimistic, I think she was resigned like her husband---she dreaded the worst.
On the whole tho I don't get the impression that they felt
that night that they were literally being led to their deaths. They were just too calm, IMO.