Try 'Anna Pavlova : Her Life and Art' by Keith Money (Collins, 1982), or Oleg Kerensky's 'Anna Pavlova' (Hamish Hamilton, 1973). Also, there are lots of references to her relationship with Kschessinska in Coryne Hall's 'Imperial Dancer' (Sutton, 2005), and more general books like 'The Great Russian Dancers' by Gennady Smakov (Knopf 1984) will also have a section on her I should think.