Nope.

As with any other "is this documented?" question, one cannot affirm with complete certainty that sources exist. But in this case, repeating that mantra would be pedantic.

I was unable to find anything like this in Plutrarch, Arrian, or Diodorus, whose accounts of Alexander's conquests I'm most familiar with. They're not contemporaries, but they cite a number of now-lost writings from those who knew Alexander, such as Ptolemy and Cleitarchus.The first mention of the event seems to be in a 1959 book by Frank Edwards, Stranger Than Science. He is the author of other reliable-sounding tomes like Flying Saucers- Here and Now! Later ufologists/pop historians took this and ran with it. It even made it onto Ancient Aliens. All, of course, with no citations. I sorted through a number of sketchy sites, many of them proponents of UFOs appearing all over the place, and they all agree with what I could find. If Project Avalon, the "Chronicles of Human Awakening" where "Science and Spirituality Meet" isn't even willing to support the idea, I doubt it's any good.