A few from Six Years at the Russian Court:
"On one occasion the Prince of Siam came to visit the Empress, and the children were in the room.[...] The Empress said to the Grand Duchess Tatiana, 'Come, shake hands with this gentleman, Tatiana.' She laughed, and said, 'That is not a gentleman, mama; that's only a monkey.' The Empress, covered with confusion, said, 'You are a monkey yourself, Tatiana,' but the prince laughed heartily. They and the prince afterwards became quite good friends."
"Just before we went to Peterhoff that year, the Grand Duchess Olga had typhoid fever.[...] She wearied to see her sister Tatiana, and was very pleased when the doctor said Tatiana might pay her a visit for just five minutes. I went down and fetched her to see Olga. She stood by the side of the bed and conversed in a most amiable manner to the little sick sister. I was rather surprised at her manner, and when the five minutes were up, told her I must take her down to the nursery again. When she got outside of the door, she exclaimed: 'You told me you were bringing me to see Olga and I have not seen her.' I told her that the little girl in bed was indeed her sister. She cried with great grief. 'That little pale thin child is my dear sister Olga! Oh no, no! I cannot believe it!' She wept bitterly at the change, and it was difficult to persuade her that Olga would soon be herself again."
"One day the children and I were walking in the garden of the Winter Palace. The Emperor has some really beautiful collie dogs, and these were taking exercise in the garden at the same time. One of them, a young untrained creature, jumped on Tatiana Nicolaivna's back, and threw her down. The child was frightened and cried most bitterly. I lifted her up and said: 'Poor Sheilka! she did not mean to hurt you; she only wanted to say 'Good-morning' to you.' The child looked at me and said, 'Was that all? I don't think she is very polite; she could have said it to my face, not to my back.' "
"The Grand Duchess Tatiana was ill one time and slept badly. I was up a good deal through the nights with her. She always asked me to sing for her, and I sang 'Rock of Ages' till the poor little sufferer rebelled, and flatly refused to listen to it any more, so I fell back upon 'Villikins' ['Villikins and his Dinah']. It interested her very much, but she always asked, 'Why did poor Dinah drink the poison cold?' I used to say to her, 'She had not time to warm it, darling; now go to sleep.' One night, however, her enquiries went further, and 'Why didn't she get her Nana to warm it for her? You would have warmed it for me, wouldn't you?' "