Found some information on the thread
written in the previous link posted.
"I have seen a couple of accounts/hints that Alexander III did in fact have a mistress. One reference came in some unpublished family correspondence I read 3-4 years ago, though it wasn't specific; then, there are allegations that he had an affair with Italian opera singer Lucia Bellhora (he certainly showered her with expensive gifts in the late 1880s and early 1890s while she was in Petersburg); and finally, if I recall, in a set of German diplomatic memoirs published just after the turn of the century, the author, who was at Skernevitski in Poland attending the 3 Emperors' Conference there, makes reference to a mistress being smuggled in to visit Alexander III. I can't say I know much more than that, or even how reliable/unreliable the assertions might be-they could simply be gossip. And I don't know if all 3 are in fact referencing Bellhora. But at the very least there have been allegations-I've just never been interested enough to pursue it and see if there is any proof or evidence to dismiss the stories.
Greg King "
It appears any fling AIII had was just that, a fling, but a very hush hush fling. Perhaps one of the most discreet Tsars I have to say.