You can have that idea, as long as i can be credited with the spark when the TL wins the Turtledove award
For the 1st Empire - you would need to be careful, any nobility that takes the role puts their home-nation at odds with Spain. The only candidate I can think of is Napoleon II, which would lead on to Napoleon III picking one of QV's children to succeed him,?
As I said about if they take the throne in Mexico, this will p*ss the spanish off causing a small war which neither Portugal or Savoly could handle, althought this could lead to a humours TL with Brazil going independent with a Spanish Emperor lol
Changing from Russian Orthordox to Catholic is not that easy, many Russian Princesses who married outside their religion never really converted which catholic Mexico would not be able to handle.
As I said above, this would not work, war would break out in Europe. It's a bit like a French Monarch being elected by Thomas Jefferson to sit on the throne of America - Britain would see this as a form of attack from France
(Have I just thought of 3 different TL in one thread

wow I am on a roll today

)