Just found this quote from a review about the book about the rescue of her jewels,

‘The glass cases were set into four corners of her dressing-room, with red stones (rubies), blue (sapphires), green (emeralds), and white (pearls) in each corner, giving the room an almost octagonal appearance. Her grandchildren remembered their visits as small girls to the Vladimir Palace, and especially the inner sanctum of their grandmother’s dressing-room. To amuse the girls Maria would often invite them to choose what jewels she should wear for her next formal occasion. Red, perhaps? Or blue, green, or white? Olga, the eldest [granddaughter], usually made the final choice.’

This quote is a bit different to the one by the Duchess of Marlborough.