According to the book Nikolai & Milena, Maria died of tuberculosis. She was educated at the Smolny Institute in Russia but I don't know if she died there. Her mother, Milena, believed that the cold climate contributed to her daughter's death at age 16. Not much is known about Maria but she was described as 'shy, thoughtful and melancholy'. Based on a portrait in the book, she seems to have been very lovely with features more delicate than those of her sisters.