I guess I don't really understand the Russian monarchy. Women like Catherine became Tsarina, but it seemed like there was a lot of pressure for Nicolas to have a son. Why was it such a big deal that their only son was Alexei, who had haemophilia? Couldn't one of their many daughters take over?
There's always more to be said, but you might be interested in my previous answer to Why didn't Tsar Nicholas II of Russia change the rules of succession so that women were allowed to inherit the throne?
The short version is that the pressure was on to produce a male heir just for the look of the thing, because it was expected to pass on the throne from father to son; there were other male heirs after Alexei, though. There was a strong bias against empresses in post-18th century Russia, so having a daughter succeed was very much not preferable. /u/Futurist110 also points out that putting Olga on the throne would have been cutting out those male heirs, which could have caused them to be discontented.