At the top of page 145 in "the Romanovs, love power & tragedy" (Leppi Publications -- London 1993; and ISBN 0952-1644-zero-X) there is a full half page picture of all four grand Duchesses in horizontally striped swimsuits with knee length pants and short-sleeved tops with buttoned fronts.
This is a fine book, with excellent sources, still available from London.
R. Richard Schweitzer