Well, I guess I'll jump into this discussion at last, though it's probably too late for me to add much that hasn't been written a few times already. I've been following this thread for some time, and I agree with a lot of what Sarushka and Janet W. have written. I don't think there's strong evidence to suggest that Olga knew she was going to die. Of course, it's possible that she suspected that things would not end well for her, but all we can do is guess.
The other night, I was looking through my copy of
The Last Diary of Tsaritsa Alexandra. The footnotes under Alix's 24 January/6 February, 25 January/7 February, and 26 January/8 February entries include excerpts from her correspondence with Boris Solovyov, where she wrote asking for his honest opinion regarding her family's situation. Apparently, Solovyov responded, noting that the situation was "very serious and could become critical." He also noted that it would take the help of devoted friends and/or a miracle for things to turn out all right. In turn, Alix wrote that he "confirmed [her] fears." Does anyone know anything else about their correspondence? If it's authentic, it could suggest that Alix understood that the situation could take a turn for the worse; however, I'm not convinced that she suspected death as a strong possibility. At any rate, perhaps Alix shared her fears with Olga, since they reportedly spent increasing amounts of time together in captivity. The thing is, we can't be sure that Alix would share the burden of fear with her allegedly depressed daughter. Perhaps Olga, being perceptive and sensitive, simply sensed her mother's fears. Without concrete evidence, who knows? I certainly don't.
On the other hand, there's another interesting footnote under Alix's 14/27 June diary entry. In response to the third "officer letter," the family wrote that they did not want to escape, and that a rescue should not be attempted without a "case of real and imminent danger." To me, that seems to suggest that the family didn't consider themselves in "real and imminent danger" as of June 27th. Furthermore, according to
The Fate of the Romanovs, the women who cleaned the floors at the Ipatiev house on July 15th reported that the girls appeared to be in good spirits. If they knew or believed that their lives were in serious danger, I can't help but doubt that they'd be happy and joking around.
At the end of the day, I think that if Olga knew the political climate/situation, she may have worried about the possibility of death to some extent. But as Janet so wisely wrote, people generally push unpleasant thoughts of death out of their minds and attempt to hope for happier times. If I were in Olga's position, I think I would feel uneasy at the back of my mind, but I also think that denial and hope would win out against any thoughts of possible death.