A number of sources associate the sapphire parure with Marie Alexandrovna, although I agree with you there are no known pictures of her wearing it as far as I am aware - the same is also true of her Ruby coronet by Bolin, although she wore the ruby necklace to the 1896 coronation of Tsar Nicholas II.

The sapphires certainly could not have come from Grand Duchess Vladimir to Victoria Melita as she did not marry the Grand Duchess's son until 1905, whereas the sapphire parure was on display with Marie Alexandrovna's jewels (and those of her daughters) in 1903 in Coburg as part of a charity exhibition.

https://www.thecourtjeweller.com/2014/03/victoria-melitas-sapphires.html

Ursula's page on the 1903 exhibition

https://www.royal-magazin.de/german/sachsen-coburg/sachsen-coburg-juwelen.htm

What a sight that exhibition would have been!