Doubt you'd see any high marriages of Napoleon's children that early on; he only snagged Marie Louise in 1810, when he was arguably at the apex of his power. Even then, she wasn't his first choice, considering he wanted one of the Tsar's sisters, to the horror of their mother who quickly arranged another marriage. I agree that a marriage of Napoleon's son to a Russian Grand Duchess is quite likely pursued to keep Russia as a friendly ally, or at worst, neutral. The Russian court will probably still view the match with horror, but Alexander can probably force the issue if necessary.
In 1806 Napoleon is still a nouveau declassé upstart, you'd also have the issue of religion: his daughter would need to convert to the Church of England, because otherwise Clarence is disbarred from marrying a Catholic. It's not an insurmountable task, but I still don't see such a match happening. The British public is too francophobic at the point; not to mention, Charlotte of Wales is still alive and will (hopefully) succeed her father. Clarence isn't going to abandon his relationship with Mrs. Jordan to marry Napoleon's daughter; no one knew in 1806 that he would end up being king.
I use this as a PoD in my timeline, the
Paix de Napoléon. Him and Josephine have a son, and Napoleon also makes some smarter choices. It's told through seven point of views in 1911, when the Prince Imperial of France is assassinated in Munich, though. One cursory chapter does show the marriage between Anna Pavlovna and the alt-Napoleon II: they have a polite marriage, but no real love affair. She busies herself with the Imperial court, which receives much of it's present day grandeur due to her inventions and her role as First Lady of France following Josephine's death. Napoleon's court being rather spartan in comparison. They have differing ideologies, with Napoleon II instructing the governor of his eldest son: 'the Princess Imperial was raised in the old ways. I do not want my son to grow up spoiled; he must remember the roots of our family and that we were raised to such great heights by the ideals of the revolution... he must grow up to be both a Bonapartist and revolutionary...'