Doing what? In combat? That just seems extremely unlike for Alexander to run into combat with two swords, on foot. I really doubt there would be 1) sources for this 2) practical.

I would venture a guess that it would be extremely rare to happen in that time and period in Alexander's army. Alexander's troops mostly fought in formations using spears rather than swords. Cavalry would not use two swords as you need a hand on the reins. I would strongly think Alexander would be on horse back instead of on foot.

And as for dual wielding two swords, it's mostly agreed by current practice to be very unwieldy and not as efficient than sword and dagger, sword and shield. If we were to only confirm something by sources, I don't know of any.