Asked this in r/askhistory but got no response. Little did I know I was mistaking that sub for this one. Anyway, I have been really interested in the subject of their lives in exile recently and would like a book on the subject. Any recommendations?
You might not have received a response because there seems to be some confusion.
The Romanovs weren't exiled, they were executed.
The only Romanovs who survived by fleeing Russia were Tsar Nicholas's mother and two sisters (along with their husbands and children) and a couple of cousins.
The rest of the Romanov family was killed by the Bolsheviks, the Tsar and his immediate family on July 17, 1918 and the extended family a day later.
If it's the life of the Tsar's mother you are interested, there is The Last Grand Duchess: Her Imperial Highness Grand Duchess Olga Alexandrovna, 1 June 1882-24 November 1960 by Ian Vorres that might be worthwhile.
The Last Tsar by Edvard Radzinsky (Doubleday, 1992) focuses on the actual execution of the Romanov family, but covers a fair amount about their lives after Nicholas II was deposed. The book veers into speculation about many things that may have happened during and after the execution, but it does a fair job of drawing from the letters and diaries of the royal family and other sources to chronicle their lives between abdication and execution.