Well, they lead to the same road in that...bluntly speaking....even if there were not a massacre, none of these people would be alive today even IF there were a "break-out."
So. A mass escape or rescue is not feasible. A partial one MIGHT be feasible, but would have to be a "snatch" or "grab" of certain members of the family, without their prior knowledge or consent. (Otherwise, they would refuse to go.)
Obvious choices of *who* to take and who to leave don't seem to come easily. Clearly, if you're attempting a rescue, it's for the purpose of setting up a rival government and rallying point. That means the Tsarevitch. But who among the siblings is then left behind, and who goes with?
Leave Mom and Dad behind?
Which of the girls goes with? And since under the then-effective Laws of Succession, none could inherit, is there a dynastic reason to include any of them? A humanitarian reason, to be sure.
Perhaps the Tsar, the Tsarevitch, and two of the daughters...the idea being that with the Tsar coming along, he could name a new heir should his son fail. Although he had abdicated as Tsar, it might be reasonably assumed that he retained the right or power to name an heir.