I think one person even said that one Grand duchess sat up from a stretcher and "cried out" before she was attacked by bayonets.
I think there is a chance of someone escaping, though I do not believe AA was Anastasia. I severely doubt Alexei would have escaped and think that his body was cremated or destroyed in other ways.

I find it hard for anyone to escape that brutal cellar since the Bolsheviks had guns and bayonets and everything they needed for murder. But then a body of a girl (Marie or Anastasia) is missing, and there is a chance of one of them escaping...
Like Annie i think one of them feigned to be dead or became unconcsious (sp?) and then some how fell out or escaped the truck where they put all the bodies on top of each other when no one was looking.