Precisely, Jackie. I have to wonder how Olga acquired it and how (or if) she had learned how to use it. And also, what "chutzpah" she had to hold on to it for so long! I can't picture the seven Romanovs and their retainers "shooting it out" in the manner of the O.K. Corral, but everyone I've mentioned this matter to has said, "Too bad she didn't get to keep and use it."
Her father, with his fatalistic passivity, would be the last person to recommend taking action against their captors. I have to think that Olga had an inkling of what was coming and somehow, perhaps early on during their initial captivity, managed to secret the gun away. Brave woman! With her courage, sensitivity, humor and compassion, she would have made an excellent Tsarina, or at the very least served as an invaluable assistant to her brother.