Did she? I think she did and she did not. This is what she wrote in a letter to her sister, Queen Mother Alexandra of England, on 18 May 1924:
"Tomorrow is my beloved Nicky’s birthday, and how awful and sad that I no longer receive news from him, and do not even have any idea where he is! But I know that, wherever he might be, the Lord assists him. But how hard it is, how painful for me -- you no doubt understand me! There are things which cannot be broached or spoken, and so I hide them all away in the very depths of my soul."