I never knew that Coca-cola was invented in the early 1900's! But then again, I never took the time to research.

That's a good question yeeee22! You could find some information by researching one of these questions:
1) Was marijuana available to Russians back then?
2) Was it popular?
3) Would Alexandra let her children use it?
Or you could use one of the links Sarushka posted. It might say in one of those threads.

I think they used cigarettes though, because Erika posted:"...I am writing to you again and am smoking the cigarette which you gave to me at the time of Lent and I did not have time to smoke it. I am enjoying it now."