The Tsarina, Alexandra was a brillian pianist, practically a virtuoso. If I recall correctly, her favorite composer was Beethoven, and that during her youth she was asked by her grandmother, Queen Victoria to perform - much to Alix's dislike. She also played the banjo and perhaps even the ukulele. In later life, she & Anna Vyrobova played duets together on the piano, and would sing some sort of cabaret or songs from the theatre which the Tsar did not approve of - or maybe just did not like the sound of - someone can step in & clarify me on this at any time now.
The family all loved liturgical music sung in the Russian Orthodox Chuch, and of course Russian folk songs. I recall that Princess Yousopova arranged for a choir of 1000 singers to perfom at her estate for the Imperial family one evening out in the couryard. Another tidbit is about Tsar ALexander III, who loved military bands & once played God Save the Tsar on every instrument in one of the brass bands that accompanied the family.