Interestingly, a programme is due to air here in Britain sometime soon asking this very question. But now the Queen's cousin, Prince Michael of Kent who was named after Grand Duke Michael Alexandrovich, the last Tsar's younger brother, has gone public on what he says were plans drawn up by the then King to rescue his Russian cousin and other members of the family.
In the upcoming TV series, the Prince is interviewed about one of history's most tragic stories: the murder of the Romanovs at the hands of a Bolshevik firing squad.
He discusses his grandfather's relationship with the Tsar and discloses details of the King's doomed plot to save the Romanovs, attempting to clear George V's name amid criticism over his apparent refusal to act.
The Prince tells how close the two cousins were: "They were first cousins and they were on very affable terms together. They were very close," he says.
The programme, Mystery Files: The Romanovs, describes how the Tsar requested asylum in Britain but was turned down because of vicious opposition inside Britain to the family's German roots amid the canage of the First World War.
Nevertheless, says Prince Michael, the King never gave up hopes of rescuing the Romanovs and there were several plots.
'It's thought that there was an attempt made by an aircraft to get them out," he says.
"On the staff of King George V, my grandfather, was an RAF officer called Air Commodore Fellowes, who was, they say, given the opportunity to plan an escape and that he would have flown in and landed nearby and got them out."
Unfortunately, the RAF officer's mission did not go ahead due to the logistics of where the family was being held.
George V came under severe criticism for his role in the events.
Asylum in the UK was offered to the Tsar and his family following the 1917 revolution, but later withdrawn after the King raised concerns about how it would impact on the reputation of the House of Windsor.
Helen Rappaport, author of Ekaterinburg which examines the situation, said "King George became increasingly conscience-stricken.
"He had a consultation with the British Secret Service in which he said 'If you can get them out, get them out.'"