The tsar did not willingly go into the custody of the Bolsheviks, he abdicated to the Provisional government and when the October revolution happened the royals simply had no resources to do anything about it.

And its very easy to theorize about possible alternative strategies but most would probably just have been seen as impractical or ineffective, holding the tsars kids as hostages would probably have lead to the white armies attempting to "call the bluff" or just not caring in the face of eradicating bolshevism, as well as moving them being a risky proposition due to the possibility of collaborators or spies making a move when not in a fortified position.