You'll forgive my answer, the topic itself is not incredibly well studied and I myself am only slowly learning how to write for this sub-reddit. The short answer would be "no".

We tend to highly over-estimate the ability of cultures to retain direct memories of antique events, partially due to our own bias due to how we (erroneously) view our own relationship with antiquity. If you're interested in oral history I'd suggest starting with Vansina's book in the topic.

Now, the first thing we need to do when considering stuff like this is postulate a line of transmission. What do they know? how do they know it? how could they know it? The idea that these people have a direct link to the Greek past is highly unlikely.

It's worth pointing out that stories of Alexander are found all over the region, but the stories are decidedly non classical in nature. What happened was, there were sub literary versions of Alexander's conquest in Greek. These got passed into Persia and were worked up into narratives in Middle Persian, often with Persian stories. Then the Arabs came and these stories spread far and wide in the Islamic world.

This is by far the more likely source for the story of a link here. Remember, the Kalash are exotic (but even their unique religion betrays considerable Islamic influence) and would be the focus of much theorising by antiquarians (east and west) and live in an area where these stories were always current. It's easy to see why and how they grew attached to the tribes.

Any further research should start with the "Alexander Romance(s)" themselves. I believe Richard Stoneman has produced popular work in this area alongside his academic stuff.

Hope that helps.