Of them all, I'd say she was closest to Ernie. They understood each other completely, shared very similar characters and outlooks, shared religious and philosophical interests, and even tastes for art nouveau.
Her relationship with Victoria was close, but the age difference did much to keep them from feeling like confidants. Victoria, being older and also probably the most level-headed of the Hessian children, may also have been a bit more judgmental about Alix.
The difference in age also applies to Ella-as far as I can tell Alix and her only became fairly close after Ella married Serge, and then when both sisters were living in Russia. But their relationship-that of two stubborn, passionate women, each convinced that she knew best-was never easy, and in the months before the Revolution practically broke down completely.
Irene was closer to Alix than either Victoria or Ella by virtue of age and shared experiences, though this, too, faltered somewhat when Irene married Heinrich of Prussia. From everything I've seen and read, there isn't much evidence that Irene ever served as a confidant to her sister after Alexei was born with hemophilia, though one might have expected it.
Frittie died when Alix was only a year; May served as her playmate for 4 years until she died, but I've never really run across any evidence or information that her death had much of an impact on Alix-it had much more impact on Ernie.
Greg King