I have been researching this Brooch for the past year and have found many different provenance for this Brooch! Some have said it was a Christening Gift from her godmother and aunt, the Queen Mother (unlikely as she wasn't really known for giving jewellery as gifts), others have said it comes from Queen Mary or Empress Maria Alexandrovna, and I have found a very similar Brooch being worn by Queen Sophia of Greece (she sold some jewels to Queen Alexandra during her exile)! I think it will be very hard to establish a provenance unless we ask the Princess herself (We could contact her granddaughters, who are always happy to answer questions about their Royal heritage)!