Couple of points:
The only requirement for a legal marriage for Russian Dynasts as promulgated by Paul I and amended by his successors and enacted into the Fundamental Rules of the Russian Empire in 1905 were
a) Equal marriage - the bride or groom of a Russian Dynast had to be of equal status (ie belonging to a reigning or mediatised house)
b) At some point it also became law that the wife of the heir to the Russian throne had to be of the Orthodox Faith
Later Nicholas II, fed up with the behaviour of his family, clarified it further by making it illegal for a Grand DUke to marry someone not of equal birth - he was tired of being asked permission that he couldn't and wouldn't give. It is debated whether he also made it legal for a prince or princess of Russia (the great grandchild of a sovereign) to marry someone not of equal birth and pass their rights to the succession to any children of such a marriage.
Vladimir Alexandrovich was the third son of Alexander II - he married, with permission, Marie of Mecklenburg-Shwerin - she didn't convert until long after the birth of her children. However she was listed as Grand Duchess Marie Pavlovna of Russia and all four of their sons (Alexander died in infancy, Kyril, Boris and Andrei) were listed as Grand Duke's with full dynastic rights.
I think the marriage you are considering is that of Kyril Vladimirovich. Kyril was in love with his first cousin Victoria Melita of Saxe Coburg Gotha and Edinbrough - Russian church law forbade first cousins to marry (though it happened and the Emperor could have dispensed the impediment had he wished - but Nicholas II and Alexander III were both fairly strict - Nicholas would also refuse his brother Michael permission to marry Victoria Melita's sister Beatrice) however her grandmother Queen Victoria pushed her into marrying Grand Duke Ernst of Hesse. After the Queen's death the couple divorced and Victoria Melita married Kyril.
Nicholas II was furious, partially because they were first cousins and because he hadn't given his consent, - the family in particularly his uncle Grand Duke Vladimir and Victoria's mother his aunt Grand Duchess Marie Alexandrovna were annoyed. Nicholas' wife Alexandra was Ernst of Hesse's sister and the family blamed her for his attitude. Victoria Melita's divorce wasn't a legal barrier to her remarriage into the dynasty - divorce was becoming common in Russia and Russian church law didn't outlaw it completely - however both the Empress and the Dowager strongly disapproved of divorce.
Eventually Nicholas caved in and the couple were permitted to return to Russia - she was formally listed as a Grand Duchess and their daughters (their son was born after the Revolution) were listed as Princesses of Russia (as the great grand daughters of an Emperor).
The Russian succession from Alexander II
Nicholas Alexandrovich (d 1865), engaged to Dagmar of Denmark (Maria Feodorovna)
Alexander III (d 1894), married Dagmar of Denmark (Maria Feodorovna), had issue
a) Nicholas II (murd 1918)
b) Alexander (b 1869 and 1870)
c) George (d 1899)
d) Michael (murd 1918) married morganaticaly to Natalia Wulfurt (twice divorced) the couple were exiled and only returned to Russia during the First World War.
Vladimir Alexandrovich (died 1909), married Marie of Mecklenburg-Schwerin (Maria Pavlovna), had issue
a) Alexander Vladimirovich (d 1877)
b) Kyril Vladimirovich (d 1938) married Victoria Melita and had issue
c) Boris Vladimirovich of Russia (d 1943) married his mistress in 1919
d) Andrei Vladimirovich of Russia (d 1956) married his long standing mistress, the dancer, Mathilda Kchessinska in 1921
Alexei Alexandrovich (d 1908), - one son born of his marriage to Alexandra Zhukovskaya - marriage was declared invalid by Alexander II.
Sergei Alexandrovich (murd 1905), married Elisabeth of Hesse (Elizabeth Feodorovna) no issue
Paul Alexandrovich (murd 1919), married 1889, Alexandra of Greece and Denmark (Alexandra Georgievna), had issue
a) Dimitri Pavlovich
(Grand Duke Paul married secondly in 1902, Olga Karnovich, a divorcee - the couple were exiled and didn't return until the first world war marriage regarded as morganatic and had issue)