Her Master, nee husbands, carried her into the bedroom, and when O’Grady gently lowered her to the ground with its thick carpeting, Bianca squealed in astonishment and pleasure. She had been to other places, had lived in luxurious rooms ever since she had met the Masters. But the Russian palace was in a league of its own.

Taking her by her small hand, the Masters led their pregnant wife inside, past an enormous living room, into the bedroom. Bianca stopped in the doorway, overcome by awe.

The bedroom was a sanctuary of imperial luxury, was large enough to double up as a ballroom. Towering windows stretched almost from floor to...