She was the namesake of her paternal aunt, Grand Duchess Alexandra Pavlovna, who died in childbirth along with her stillborn daughter in 1801, but in the family she was known by her affectionate nickname, "Adini".

"Fritz", as he was called, had come to St. Petersburg as a prospective bridegroom for Olga, but fell in love with Adini instead on the first evening he spent with the family.

Although Olga was the elder daughter and also found Fritz to be an engaging young man, she graciously stepped aside in favour of her sister, and even chaperoned the couple when they wanted to spend time together away from the prying eyes of the court.

Frederick's uncle, king Christian VIII of Denmark purchased Dehn Mansion in Copenhagen and Bernstorff Palace outside the city for the newlyweds and there was great joy over the union in the royal family.

In the gardens of the Petergof palace near Saint Petersburg there is a memorial bench with a small sculpture bust of the Grand Duchess.

Six sheaves of wheat made of diamonds, which came to Hesse on one of the dresses in Alexandra's trousseau, were transformed into a tiara by Anna around 1900.