How closely was he related to Tzar Nicky's family? Close enough that when the Russians finally dug up the bodies a sample of Prince Philip's DNA was used to verify their identity.
They used his mitochondrial DNA for the tests because both he and the Russian royal family (except for the Czar) were descended through the female line from one of Queen Victoria’s daughters, Princess Alice. Philip’s mother, born Princess Alice of Battenburg, was the daughter of Victoria of Hesse and by the Rhine, elder sister to Alix, who became the wife of the last Tsar of Russia, Nicholas II. Both sisters were daughters of Princess Alice. Prince Phillip is great nephew of Tsarina Alexandra, wife of Czar Nicholas II. And the bastards did kill half his family, including another great-aunt, Elizabeth (Ella). The Czar’s mother was the sister of Britain’s Queen Alexandra. All of it is sad and very tragic, although Philip has certainly enjoyed a happier, more secure life than his relatives.
They all had a Grand Mother named Queen Victoria. So did the Kaiser.