Interesting about Haakon. I wonder why he proposed to send a warship rather than offer to receive the family at the Norwegian border (Norway has a land frontier with Russia - did it then?). Perhaps the reason was that the transport arrangements would be simpler - as a neutral a Norwegian ship could go to Kronstadt, from which it was a short road journey to Tsarskoye-Selo. The border area between Russia and Norway is pretty remote, and would have been more remote then - when Murmansk was connected to St Petersburg by only a single-track railway.
These are just musings - I've probably answered my own question.
Obviously, it would have been far easier to get the family to Norway than to Spain, in purely practical terms. Going to Spain would have meant either a long and circuitous voyage through U-boat waters, plus minefields, or a land journey crossing enemy territory (which Nicholas is unlikely to have agreed to).
Ann