I am reading through the letters on here http://www.alexanderpalace.org/letters/toc.html and know that they are the original texts, not just translated ones. Besides the tenderness one does not usually associate with royal couples, I wonder about their eloquency in other languages. Could they have exchanged letters like this in German, or for that matter, Russian?
Tsarina Alexandra spent a considerable amount of her time with her British relatives (she was the granddaughter of Queen Victoria), and she spent even more time with them after her mother's death (Even her nickname was "Sunny"). English was likely her preferred language. In 1889, after they fell in love, Nicholas wrote:
It is my dream to one day marry Alix H. I have loved her for a long time, but more deeply and strongly since 1889 when she spent six weeks in Petersburg. For a long time, I have resisted my feeling that my dearest dream will come true.
It is possible that he spoke to her in English because it was her preferred language, and that's what she was more comfortable speaking. It's also important to note that Russian upper-class culture was heavily influenced by other western cultures, like the French, so Nicholas may not have had strong feelings on conversing in Russian...and obviously because he loved her.
Sources: Greg King's The Last Empress, and Massie's Nicholas and Alexandra