Interestingly, a mythos surrounding Alexander the Great did not develop in the Indian subcontinent until Iranian and Turkic Alexander-Romances were introduced in the medieval/pre-modern Indo-Islamic period. Despite the abundant interaction between Hellenistic and Buddhist art-styles and mythological traditions in the region of Gandhara (modern northern Pakistan), there are no references in Gandharan literature to Alexander, and the only occurrence of that name in any sort of early South Asian inscription is in the Rock Edicts of Ashoka -- where Ashoka states that he had sent Buddhist emissaries to four Hellenistic kings, one being "Aliksyadala" (believed to be Alexander II of Epirus).

Of course, there must have been a cultural consciousness about Alexander during the Mauryan, Indo-Greek and Kushan eras in northwest India because of interaction with the Hellenistic world and the presence of Greek populations in South Asia. For example, the coins of the Indo-Greek and Indo-Scythian kings were cast in a style where the subject king is profiled similar to Alexander.

Besides that, direct reference to Alexander just doesn't show in the documentary or archaeological record. Alexander is not deified or depicted in Gandharan artwork, and he doesn't appear in South Asian art until his emergence as a popular subject of richly decorated Indo-Persian "Alexander-Romances" and illustrations of the Shahnameh. For example, here is an illustrated folio of a poetic anthology called "Alexander Visits the Sage Plato in His Mountain Cave", from around 1597-98: https://www.metmuseum.org/toah/works-of-art/13.228.30/