In one episode we watch some scenes through the eyes of young Nicholas II, and apart from his parents we can see a lady crying over the dead zar. Could it be his second wife, Katja? She seems a bit old for that.
It's a bit confusing. It would be inaccurate if it was his first wife, since she was already dead. History has his Katja weeping at his side, so it might as well be her (regardless if the actress is a bit too old). The only problem there is Nicholas referring to her as Granny. Now, it's realistic for people to give surrogate parents such parental names despite a lack of blood-relation. However, considering Nicholas' parents opposed the woman, I doubt Nicholas would have regarded Katja with such fondness.