The cucumber frame incident with Leopold is in 'The German Woman', though I've not seen it elsewhere.
Ann
Buxhoeveden's bio of Alix/Alexandra is the origin of the story. Charlotte Zeepvat's book on Leopold may add some further info from letters - I can't remember now.
It is out yet ?
It came out in 2008 - it's a novel, so should be read for pleasure rather than information. HOWEVER, I didn't make facts up - the idea was to present the story of her life as she might have told it, so the only "imaginary" part is the first person narrative.