Before World War II she earned the sobriquet Baba Blackshirt, and for a while played a murky role as a semiwitting go-between for Oswald Mosley and her other lover at the time, Dino Grandi, Benito Mussolini's ambassador to London, while simultaneously enjoying the romantic devotion of the foreign secretary, Lord Halifax, who was staying at the same Dorchester Hotel as Alexandra and her sister.
She had many admirers, among them Lord Halifax, who wrote her long letters describing his wartime embassy in Washington, her brother-in-law Sir Oswald "Tom" Mosley, whom she comforted after her sister Cimmie's early death in 1933, and Douglas Fairbanks.