Does not sound like it, though I read that the family had their own zoo and there were all kind of animals including parrots and guine pigs in the house--though I can not verify the source;
Here is the paragraph from archives (
http://www.alexanderpalace.org/palace/anna3.html)
:
"The Emperor and Empress and all the children were passionately fond of pets, especially dogs. The Emperor's inseparable companion for many years was a splendid English collie named Iman, and when in the natural course of time this dog died the Emperor was inconsolable. After that he had a fine kennel of collies but he never made a special pet of any dog. The favorite dog of the Empress was a small, shaggy terrier from Scotland. This dog's name was Eira, and, to tell the truth, I did not like the little animal at all. His disagreeable habit of darting from under chairs and snapping at people's heels was a trial to my nerves. Nevertheless the Empress doted on him, carried him under her arm even to the dinner table, and amused herself greatly talking to and playing with the dour little creature. When he fell ill and had to be mercifully killed she wept in real grief and pity. Alexei's pets were two, a silky little spaniel named Joy and a beautiful big gray cat, the gift of General Voyeikov. It was the only cat in the household and it was a privileged animal, even being allowed to sleep on Alexei's bed. There were two other dogs, Tatiana's French bull and a little King Charlie which I contributed to the menagerie. Both of these dogs went with the family to Siberia, and Jimmie, the King Charles spaniel, was found shot to death in that dreadful deserted house in Ekaterinburg."
