Grand Duchess Anastasia Nikolaevna of Russia
During the years of Communist rule nobody knew where she was buried. This led to many stories that she could have escaped and still be alive.  The bodies of the Tsar, Tsarina, and three daughters were found in a grave near Yekaterinburg in 1991; however, the bodies of Alexei Nikolaevich and one of his sisters (either Anastasia or Maria) were not there.