Queen-consort yes, but never the sovereign.
Russia being a monarchy changes World War II as we know it, assuming it even happens like our timeline. One of the biggest motivations for Nazism was the perceived threat of "Judeo-Bolshevism," and without the Soviets, the Germans will not see the Nazis come to power like they did in our timeline. They could be in a coalition government (assuming they still manage to get into the Reichstag) as part of a revanchist-nationalist-reactionary takeover during the Great Depression, but that government would be Prussian and aristocrat-dominated, which was the antithesis of what many old-guard Nazis wanted. You had some, like Goering, who were more pro-aristocrat and pro-monarchy, but Hitler, Goebbels, Himmler, and Roehm were not in favor of going back to the old days of the monarchy. Germany will either become a military dictatorship led by one of the heroes of the Great War, a restored Kaiserreich with Wilhelm II back on the throne and someone like Alfred Hugenberg as chancellor, or a restored Kaiserreich with Wilhelm II restrained by a military dictatorship. And this nationalistic Germany will be much more cautious trying to take back its former territories than Nazi Germany ever was. The Polish corridor would probably be their focus, taking back Danzig and German-majority regions of Poland. I think they'd go about this diplomatically unless it is clear that Poland will not cave and the Entente will not intervene in favor of Poland.
It is possible that one of Nicholas' daughters is betrothed to Prince Edward on the insistence of his father (who was very aware of how incontinent his son was), and Edward stays on the throne until his death, which means that Elizabeth II never becomes queen and one of Edward's ATL children becomes sovereign. But given that the monarchy is ceremonial by 1936, the only changes that this will have on Britain is that we will never have the fantastic film The King's Speech and Queen Victoria still holds the title as longest reigning sovereign in British history.
Now, there is a chance one of his daughters marries a member of the German imperial family, namely Prince Wilhelm, which would change who would become Kaiser in the future. If Wilhelm II pressures his grandson into marrying a noble rather than a commoner, and if the restoration seems more likely without the Nazis, Prince Wilhelm will not renounce the throne and ascend as Kaiser Wilhelm IV when his father passes.