Such a ruse is certainly reported being used by Hannibal, to escape when Fabius Maximus Cunctator had his army trapped:

Hannibal on one occasion was embarrassed by difficulties of terrain, by lack of supplies, and by the circumstance that Fabius Maximus was heavy on his heels. Accordingly he tied bundles of lighted fagots to the horns of oxen, and turned the animals loose at night. When the flames spread, fanned by the motion, the panic-stricken oxen ran wildly hither and thither over the mountains to which they had been driven, illuminating the whole scene. The Romans, who had gathered to witness the sight, at first thought a prodigy had occurred. Then, when scouts reported the facts, Fabius, fearing an ambush, kept his men in camp. Meanwhile the barbarians marched away, as no one prevented them. - Frontinus, Stratagemata

Plutarch relates this episode in more detail here:

[Hannibal] gave orders to take about two thousand of the cattle which they had captured, fasten to each of their horns a torch consisting of a bundle of withes or faggots, and then, in the night, at a given signal, to light the torches and drive the cattle towards the passes, along the defiles guarded by the enemy. As soon as his orders had been obeyed, he decamped with the rest of his army, in the darkness which had now come, and led it slowly along.

I can't say I've ever heard of Alexander using such a ruse. I did a quick search of Arrian, but found nothing on goats or torches.

Where exactly is this hill, and what is its name? Perhaps knowing that will let us discover the source of this story.