Mathilde Kschessinskaya, Kschessinska was the first who managed to repeat this feat. The scandals and rumours around her name persisted, however, as she formed a Ménage à trois with two Grand Dukes of the Romanov family - Sergei Mikhailovich and his cousin Andrei Vladimirovich. Through her aristocratic connections, she managed to amass much valuable property in the Russian capital. Wikipedia
The definitive Wikipedia entry for Mathilde Kschessinska. Wikipedia is the biggest multilingual free-content encyclopedia on the Internet. en.wikipedia.org/wiki/Mathilde_Kschessinska