Edit: This was proven invalid. Read comment below. Thanks for the PMs and information on this subject!
There is a rumor I would like to dispel in my family that my great-(great-great?) grandfather was the Russian ambassador to America and he escaped execution only because he was on a boat en-route to the states at the time.
I am fairly sure that with a few hints of where and how to research this, I can continue to trace my family tree back to prove/disprove this.
Edit: All my Google searching gets obfuscated by all of the ancillary data on Romanov history... I am at a loss on this one.
George Bakhmetev was the last ambassador of the Tsar to the United States, however, he was in the US starting in 1911. Boris Bakhmetev (unrelated) was the ambassador of the Russian Provisional Government which formed after the abdication of the Tsar. He more or less lived in the US in exile once the government he represented dissolved months after forming.