Was she – or wasn’t she – the Grand Duchess Anastasia, youngest daughter of Russia's last tsar who had survived the massacre of her family in 1917? Natalia Osipova made you believe she was. In her searing interpretation of the real-life Anna Anderson, who claimed to be the daughter of Tsar Nicholas II, she was utterly convincing and compelling. At the start of Act III of Kenneth MacMillan’s Anastasia, she sits on her metal hospital bed in a grey shapeless dress, hair cropped and spiky, her eyes blank and cast down.

Left alone from the probing nurses and the ridicule of well-dressed émigrées who laugh at her claims, she stands unsteadily at first, then Osipova's powerful dancing and intense acting turn her into the tormented character who faces many ghosts of the past. She charges around her locked room in ever-faster, high prancing leaps, rubs hands in nervous action and is haunted by remembrances from her earlier life: her close-knit family; Rasputin; soldiers with rifles cocked for action; her husband and dead baby. Earlier, the Russian ballerina had also shown us credible characterisations in her childhood scenes. In the first act she was a playful tomboy having fun with her sisters and young officers, and getting tossed (in triple turns) over the heads of them. In the second act she is three years older, yet still impulsive with a real joie de vivre. Osipova’s dancing was refined, showing beautiful lines. But this role is more about dramatic acting, and in this she excelled.

MacMillan originally created Anastasia as a one-act ballet focusing on the real life of Anna Anderson. This later became the third and final act of his expanded full-length ballet, and offers sharp contrast to the earlier acts that take place in the wealthy world of Russia’s last royal family. It is a ballet about the problem of identity and human memory and its recollections, good and bad, that remain hidden in the dark recesses of the mind. MacMillan created his initial one act work for Deutsche Oper Berlin in 1967 when he was director of the ballet company. He was fascinated by the story of Anderson and wanted to believe that she really was the Grand Duchess Anastasia who had miraculously escaped the massacre of her family in Ekaterinburg in 1918. (It wasn’t until 1994, after MacMillan’s own untimely death, that DNA proved her claim to be false.) When he returned to London in 1970, to become director of The Royal Ballet, he expanded Anastasia to three acts. It has not been seen here since 2004.

For balletomanes fascinated by the historical events of those dazzling times in early 20th-century Russia, and offering flowing conventional classical dancing, Anastasia fits the bill. Act I captures Hello magazine-styled happy snapshots of the royal family’s opulent life showing the Tsar, Tsarina their four beautiful young daughters and young son on board the Imperial yacht. Always skulking in the background is the sinister Rasputin who holds mesmeric powers over the family. There is a special sisterly love between Anastasia and her young haemophilic brother, Alexei. Act II sees Anastasia’s coming-of-age ball filled with gloriously costumed guests performing stylised Russian folk dance motifs. Finally, there is the storming of the Winter Palace by the Bolshevik revolutionaries, which ends the Romanov dynasty. Both acts were visually charming and easy on the ear, even if the action was somewhat repetitive. Act III changed all that.

Here, the jarring apposite strains of Bohuslav Martinů’s Symphony no. 6, Fantaisies symphoniques and musique concrète recordings exemplify the drama and tragedy of ‘Miss Unknown’, the woman who tried to throw herself off a bridge in Paris and was then confined to different psychiatric asyla because of her claims to be the sole surviving member of the Romanov massacre.

The evening belonged to Osipova, but she was well supported by the company. Marianela Nuñez gave an outstanding performance as the prima ballerina of the St Petersburg Imperial Theatres (and the Tsar’s former lover) Mathilde Kschessinska. Dressed in a sumptuous black and gold tutu, partnered by Federico Bonelii, she showed off immaculate classical technique, all the while making eyes at Nicholas, whose wife – and young Anastasia – looked on. Anastasia’s three pretty older sisters, Olga, Tatiana and Maria, were danced in impressive accord by Olivia Cowley, Beatriz Stix-Brunell and Yasmine Naghdi respectively, while Thiago Soares, bearded and with long locks as Rasputin, glowered at them from afar. Soares’ Rasputin could have been even more repulsive but as this was his debut in the role, it will surely develop.

In the final moments of the ballet, Osipova’s Anna, with the regal deportment of a royal princess in a golden coach, encircles the stage on her white steel bed passing, in shadow, those who have played a part in her life. A true Grand Duchess indeed – even if, as we now know, an imagined one!