Xenia was close to Irina. I wonder how close she was to her nieces (The Tsar's daughters).
It depends on the time period we're talking about. While they were all newly married, Xenia and Sanro and Nicholas and Alexandra had their first babies fairly close together, so I would imagine that she was probably close to Olga, and probably to Tatiana, too.
Strain between the couples appears to have come about due to Alexandra's not having an heir while her sister in law kept having boys - so my guess is that she was less close to Alexei, Anastasia, and Marie. I believe there was estrangement after 1915 when Xenia and MF were clearly part of the anti-Rasputin faction and spent much of the war in Kiev.