Grand Duchess Olga Alexandrovna was told that they had made an investigation to see if what Vishnyakova said was true , but that `` they caught the young woman in bed with a Cossack of the Imperial Guard . '' Grand Duchess Olga Alexandrovna was told that Vishnyakova 's claim had been immediately investigated , but instead `` they caught the young woman in bed with a Cossack of the Imperial Guard . ''