Nathalie Paley was born Princess Natalia Pavlovna Paley, daughter of
Grand Duke Paul Alexandrovich of Russia (uncle of Tsar Nicholas II) by
his second wife, Olga Karnovich. A commoner, Olga did not become a
Grand Duchess but was given the titles Countess von Hohenfelsen by the
king of Bavaria, and Princess Paley by Nicholas II. Olga's children
bore the latter name and title. Natalia's half-brother, Grand Duke
Dmitri (by Paul's first wife, a Greek princess) helped murder Grigory
Rasputin in 1916. Her full brother, Prince Vladimir Paley, was killed
by the Bolsheviks in July 1918. Natalia married twice, first to a
Frenchman (1927-1937) and then to an American, but had no
children.