Surprisingly, even Grand Duchess Olga Alexandrovna said that she and her brother Nicholas II believed in the legend.
I've also never heard of this. Could you give me your source, please?
I read this book called "Imperial legend: The Mysterious Disappearance of Tsar Alexander I" by Alexis S. Troubetzkoy. It has a ton of great info on this subject. The author had the privilege of interviewing the Grand Duchess about her opinion before she died.