The Romanov throne was inherited on the principle of semi-Salic law, so a female couldn't inherit the throne unless all of the men in the dynasty were dead. You'd need to kill of Alexei (easy enough considering his Hemophilia), and all of Anastasia's older sisters. You'd also need to kill of Nikolai Nikolaevich. At this point, there would still be multiple men left to claim the throne. Maybe some White general(s) would start thinking that a woman would be more easy to manipulate, so they ignore the legitimate claimants and put Anastasia on the throne. But this action would probably result in the rise of a Russian equivalent to the Carlists.