I do recall reading that the empress asked for chairs. Sources seem to vary on whether 2 or 3 were brought.
I'm disinclined to believe Yurovsky made that statement about dying in chairs, but it's really just a gut reaction; I don't have any sources at hand to check. At any rate, I don't believe it's something he would have said in front of the IF -- plenty of sources do state that the family was completely unsuspecting until confronted with the firing squad itself.
Evidently it was not Yurovsky, but Yurovsky's assistant Nikulin, who uttered these words, and moreover, not within the earshot of his victims, but only as an aside to one of the guards stationed outside the murder room, Andrei Strekotin. See Radzinsky,
The Last Tsar, p. 384. The entire quote from the guard Andrei Sterkotin is:
"They were all led into the room.... Next to my post. Soon Akulov [Nikulin] came out and walking past me said, 'The heir needs a chair... Evidently he wants to die in a chair... Oh well, let's bring them'" (Radzinsky, p. 384.) Personally, to me, this exchange sounds perfectly believable. In other words, Nikulin told the truth about what was about to transpire to a guard standing by (who, at any rate, probably already suspected what was about to happen to the Romanovs). But this occurred in the hallway - the imperial family and their servants could never have caught wind of Nikulin's cold-blooded remark.