The Windsor Caper by Gerda Weissmann Klein

Alysa and Julie, two young American cousins are in England for the summer with Alysa's family. Visiting Windsor Castle they have a scary adbven ture after getting locked in for the night during a thunderstorm. They find themselves alone with a host of strange but fascinating characters from history. And then they have to face a coupke of ruthless art thieves.