At the end of episode 7, I point out that the bodies of Anastasia and Alexei were buried at a different site from the rest of the family.
The consensus now is that the two bodies were those of Alexie and Maria.
It is not clear why this would be Maria and not Anastasia, but one possible explanation is that the Bolsheviks couldn’t distinguish between the two girls, and simply wanted to leave open the possibility that Alexei and one of the daughters survived. They may simply have confused the two girls.
Either way, this was all done prior to the availability of DNA evidence, and so the number (and relative size) of the bodies was all that mattered if one wished to plant the seed that the youngest two Romanov children were still out there somewhere.