Thanks Joye for the topic - regarding the grandmother of Prince Philip.
According to Diana Scarisbrick in "Tiara" Princess Louise, Duchess of Argyll, gave a star tiara to her goddaughter and niece Princess Victoria of Hesse, later Marchioness of Milford Haven. Victoria's daughter, Princess Alice of Battenberg married Prince Andreas of Greece in 1903 and appears to be wearing her mother's star tiara at her church wedding ceremonies.
Scarisbrick says Victoria was visiting her sister the Tsarina Alexandra in 1914 when war broke out. Victoria had to leave in a hurry and left her jewels in the care of the Tsarina. "The Battenberg jewels were never seen again."