Neither Heléné nor Nicholas were at all interested in the marriage. Plus it's questionable on whether or not Héléne would be allowed to convert considering her father refused her permission to marry Albert Victor, Duke of Clarence and future King of the United Kingdom. And if she can't/won't convert the marriage is DOA: Russia isn't going to accept a Catholic Empress.
Her dad really
was something wasn't he? I mean, you've got possibilities for your daughters to become queen of England, empress of Russia, queen of the Belgians etc. and you refuse them all because "reasons". You force your eldest son into a marriage he hates (admittedly he married his Austrian wife
in opposition to his parents - who wanted him to marry the OTL duchesse de Magenta - and that wasn't a match made in heaven either)... Can't we just kill off the Comte de Paris that his kids have
some chance of matrimonial happiness?
Although Hélène had an interesting life as duchess of Aosta. There's the story of how, after she separated from her husband, he [the duke of Aosta] lived with his mistress she with her lover, and one night at a hotel, the duke and duchess ended up in neighboring rooms with their respective lovers. The duke was gallant enough to send a bouquet of roses up to his wife, accompanied by a bottle of her favorite champagne and something else, with a card that said "I'm glad you enjoyed yourself last night, darling". And no, it wasn't that he meant to send it to his mistress instead. Well, it might be true what they say, royalty's not like the rest of us...