I heard a story once that his mother absolutely broke down at his burial, after losing her baby Alexander her husband, and then George. Yes, the entire Imperial Family was there, as George was the Tsesarevich. This would indeed have meant a state funeral, which would have also included attendance by the diplomatic corps.
I read that about Marie Feodorovna somewhere as well, though I can't remember the source.
Perhaps Romanov Autumn? I'll try looking it up.
It seems to me that there may be film footage of Nicholas marching behind his brother's casket. I'll see if I can figure out which documentary it's in. My best guess is Nicholas and Alexandra (A&E), or Last of the Czars, or Russia's Last Tsar....
Ok, there is some footage of GD Georgii's funeral procession at the very end of
Nicholas and Alexandra. It's in the last 3 minutes or so, when they talk about DNA testing of Nicholas's remains. They also quote from Nicholas's diary for that day.
There's virtually nothing on GD Georgii in
Romanov Autumn, but Ian Vorres does write briefly about Georgii's death in
The Last Grand Duchess:
"Nicholas received word of his brother's death by telegram and broke the sad news to his mother.
" 'Mother, Georgie is gone,' he said quietly, and the Empress burst into tears. He was twenty-seven, and his death, as the Grand -Duchess [Olga A.] said, was in irreparable loss."
I will keep looking for the source of the story Lisa mentioned.