Historical fiction often takes great liberties with the actual history. The trick, I think, is to make your story so that nothing in it is easily proven wrong by reading a conventional history book. That is, you can add all sorts of things to what's in the history books, but you should avoid contradicting the history books.
Basically, that means either, (a) the person or event that you invent is minor enough that no one would be surprised that it didn't make it into the history books; or (b) it's something that would have been private or even secret; or (c) you give some explanation for why the history books got it wrong.
For example: (a) You say that one day Tsar Nicholas was touring the city and met a peasant girl and they had this interesting conversation. Who would know that that didn't really happen? History doesn't record every step the tsar ever took or every person he ever spoke to.
(b) You relate a private conversation between the tsar and tsarina about their personal lives. If no one else was there, who would know what was said?
(c) You say that Princess Anastasia really survived the massacre of her family, but no one knew because she had amnesia and didn't know herself, and friends and relatives tried to keep it all secret so that the communists wouldn't hunt her down and kill her.
In your case: Another sister is surely too big for the history books to just miss, and would likely have been widely known. So you have to come up with some reason why the sister is not in the history books. One possibility that occurs to me is to say that the family found the behavior you describe so scandalous that they had her cut out of all official histories, threatened newspaper publishers with dire consequences if they ever mentioned her name, etc, and so wiped all knowledge of her out of existence. When the communists took over, they didn't want to talk about the sister either because an anti-monarchist but not pro-communist member of the royal family might become a rallying point for anti-communists, someone who could be held up as the "rightful queen", so they were happy to go along with expunging her.
If that particular ideas doesn't work in your story, fine, come up with something else that DOES fit.
Lots of historical fiction has very fanciful scenarios to explain away what's in the history books in favor of their more entertaining tale.
Total side thought: I'm sure every historical fiction novel has scenes that are provably false because they get details wrong that only the most dedicated history buffs would be likely to know. Like, "Hey, this story says that Tsar Nicholas talked to Rasputin on August 12??? But everybody knows that Rasputin was in St Petersburg that day while the tsar was in Sevastopol ..." I wonder if this ruins the story for the history buff.