FOUND IT!
When the Tsarina’s sister Victoria–the Marchioness of Milford Haven–heard that the Tsar had left for Ekaterinburg, she wrote a letter to Arthur Balfour, then Foreign Secretary, asking if it would be possible for at least three of the Tsar’s children to be brought to England and placed in her custody. ‘I quite realize that the boy is a political asset which no party in Russia would allow to be taken out of its hands, but the girls (except perhaps the eldest) can be of no value or importance,’ she said. ‘I and my husband would willingly keep them here in quiet obscurity.’ She received a reply that the difficulties in the way of such a proposal were ‘almost insuperable.’
From Princess Marina, Her Life and Times, by Stella King.