1 Russia: a) had the marriage of Juliane to Grand Duke Constantine produced a son he would have continued the Imperial line instead of his father's younger brother Nicholas I.
b) Victoria Melita of Coburg is the grandmother of Grand Duchess Maria Wladimirovna current head of the Russian Dynasty.
2 Mexico: The reign of Maximilian of Habsburg and Charlotte of Belgium was short-lived and no children were born. Otherwise there might have been another imperial line with Coburg-roots.
3 Austria-Hungary: the Imperial heir archduke Rudolph married princess Stephanie of Belgium. Their only child was a girl Elisabeth but a son would have been his grandfather's heir.
Another imperial line did work: Clementine of Belgium married the heir of the French Imperial line and the heir of that line is her great-grandson.
You did not mention the connection between the last Duke of Coburg and his grandson the King of Sweden.