Princess Alexandra is a character in the game Warlock of Lust. She is chosen by her mother - Queen Regent Augusta - to replace you, the rightful heir, on the imperial throne. However, she is not aware all of these intrigues going on, for she is still sitting around at a Convent she was shunted to as a child, for the purpose of receiving "education".
You will learn about her whereabouts from the Queen Regent herself during the quest "Fallen Queen". After travelling to the convent she at first will not recognise you, and will remain quite indifferent to you.
To proceed with her conversion, you must raise her Lust during the quest line of "Seeds of Corruption".