Anna Anderson, who claimed to be the surviving Grand Duchess Anastasia Nikolaevna of Russia, walked a thin line in what she said. If she said too much, Anna/Anastasia knew she would be assassinated. Referring to the fabled “mass murder in the cellar” at Ekaterinburg, the escaped Grand Duchess told journalists Anthony Summers and Tom Mangold, “There was no massacre there… but I cannot tell the rest.” 
Prince Felix Youssoupov (image top), acknowledged murderer of Grigori Rasputin, once cornered Anna/Anastasia in a room: “I killed Rasputin, and I will kill you for what your mother did to my country. We will have you out of the way,” threatened the evil prince. 
But publicly, the duplicitous Prince Youssoupov would act urbane and say, “Oh tut tut… She [Anna Anderson] is just a Polish factory worker.” (Background: The Amazing Polish Factory Worker, Ersjdamoo’s Blog, October 3, 2014.)
Besides usually carrying a hidden dagger, Anna/Anastasia kept large dogs at one of her residences, a former army barracks in the small village of Unterlengenhardt, on the edge of the Black Forest, in Germany. One of these huge dogs she called “Baby.” The disputed Grand Duchess lived in Unterlengenhardt between 1946 and 1968.  
Why would people want to murder a supposed Polish factory worker? Once, in the late 1920s, Anna/Anastasia was invited to stay at Castle Seeon, the home of Duke George of Leuchtenberg, a distant relative of the Tsar. (Dear Polish factory worker, Please find now a home at my castle. (signed) Duke George.) At the time the controversial Grand Duchess was recovering from a bone operation. She moved to Castle Seeon. A fine lady even offered her services as a nurse. 
“Here, Anastasia, have some tea and almond cookies,” the lady would say.
And each day, Anna/Anastasia became weaker. “Why am I getting weaker?” she wondered. “Maybe it is the almond cookies.”
(Bitter almonds have a taste like prussic acid. “If you were to eat bitter almonds that had not yet been processed (prussic acid leached out) it could be fatal.” )
So Anna/Anastasia stopped partaking of the daily tea and cookies brought in by the fine lady. This upset the “nurse” and she went and committed suicide. 
Of all the escaped Grand Duchesses (Olga, Tatiana, Marie, Anastasia), it was Anna/Anastasia who most “pushed the envelope”. She was therefore in greater danger than her other sisters. Margda Boodts (Grand Duchess Olga Nikolaevna of Russia) also faced danger. Margda/Olga moved to San Remo, in Italy, in 1939. (Previously she had lived in eastern Germany.) From there she moved to Stresa, then to Tremezzo, Nobiallo, and Menaggio, in the province of Como, northern Italy. “In the early years of her stay in Menaggio, she often seemed frightened and even terrified. She spoke to us of mysterious persons who stealthily followed her and of gunshots heard in the night and directed at the windows of her house.”
(Source for the preceding paragraph is a book published in Spain in 2012, Estoy Viva (I Am Alive). When Margda Boodts/Olga Nikolaevna died, in Italy, in 1976, she left behind her autobiography Io Vivo (published in Spain as Estoy Viva). This book was discovered in the Vatican archives.  )
And what of the other two Grand Duchesses, Marie and Tatiana? A book published in France in 1990, Operation Aliss (by Alexandre Eleazar), claimed that Tatiana was involved with White monarchists in Paris until she was captured in the 1930s by agents of Josef Stalin, the Soviet dictator. As for Marie, she possibly has a grandson living in Madrid who calls himself Prince Alexis D’Anjou-Durassow. 
And where did the Tsarina Alexandra live out her days? A convent in Poland perhaps? What does the Vatican know?
——- Sources ——-
 The File On the Tsar, by Anthony Summers and Tom Mangold. New York: Harper & Row, 1976
 Anastasia, by James Blair Lovell. New York: St. Martin’s Press, 1991
 The Lost Romanov Icon and the Enigma of Anastasia, by Carlos Mundy and Marie Stravlo. Available as a Kindle e-book.
 Marc Ferro, The truth about the tragedy of the Romanov (Google Translate, French to English), by Felicien, Oct. 8, 2012