Nicholas and Alexandra becoming Russia's rulers was a perfect storm of disasters. He saw his grandfather die right in front of him, after anarchists threw pipe bombs at his carriage, one of his legs torn off. His father Alexander the III rolled back all his father's (Alexander the II's) reforms and made Russia a police state (although he was an effective Tsar, and IIRC his was the only Romanov rule not marred by war). Alex 3 was overbearing, thought of Nicholas as passive and incompetent yet he did nothing to prepare Nicholas for becoming Tsar. So when he died prematurely Nicky was totally unready for the job.
The one time during his father's lifetime that he put his foot down with his parents was insisting on marrying Alexandra. She was more intelligent than Nicholas but she had so much baggage herself (seeing several siblings and then her mother dying (diphtheria, I think?) by the age of 6, and of course Queen Victoria's fetishizing of mourning only intensified the girl's grief. She had been known as Sunny when very young, but after these tragedies she became withdrawn and painfully shy (bad qualities for a future Empress).
AND he inherited an empire whose satellite countries were straining to break free. As much as the Russian government suppressed their languages, religions and cultures and people, they were angry and determined to break free. Revolts and uprisings marked almost every year of his reign.
Neither of them learned a thing from the revolution of 1905. Although N allowed the creation of a Duma, he had nothing but contempt for representative government, and he dismissed several Dumas just because he thought they were too demanding. Although it's safe to say they both sincerely believed they were serving Russia, they both had that autocratic view that he "owned" Russia, for most intents and purposes.
When WWI broke out Nicholas made the disastrous decision to dismiss his uncle as commander of the army (not sure if that's the right term, anyway, his uncle was a brilliant leader, and Nicholas...was not) and then even more disastrously, he put Alexandra in charge of the government. She was clueless, hiring and firing ministers just on Rasputin's say-so. Like Nicholas, she may have had the best intentions, but she was hopelessly inept. They both made the revolution inevitable.
They did love each other passionately, so it's right that at least they died together, but they had no right to take their children with them. How incredibly stupid and obstinate. Those children died in terror and agony, and it should not have happened like that.
Had they escaped to Denmark or England they would have attracted unwanted attention and the ire of liberals, as well as being targets for the Soviet Union. His sister Olga in fact DID live in Denmark after the revolution, but after WWII the soviets caused so much trouble for her and her family that the royal family quietly suggested she move to Canada. Maybe N&A and their children could have gone to Canada as well, but being much more high profile than his sisters he and his family would still have been at high risk.