In Egypt. This is were he was burred and The Ptolemies even build a cult around him. Alexander's mausoleum is still reported by travelers as late as 16th century, but whose mentions are fragmentary and far apart. Essentially, he (and his mausoleum) simply fell in to obscurity and was forgotten as Alexandria lost importance and was abandoned.

However reliability of the medieval travelers and tourist guides should be put in to question, because late antiquity sources (most notably John Chrysostom) claims in to be lost after repeated destruction of the city during the Third Century Crisis, so its quite possible, that the tomb of the "prophet Eskander", reported in the later centuries was simply best preserved part of the ruins.

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So this is were your search should begin: Alexandria.

Problem is, that city was rebuild in 19th century on the top of the ancient city and our understanding of how Ptolemean capital looked still relies on so called "Falaki map", made in 1865. Falaki presumed that Alexanders tomb should be in the center of the city, were Nabi Daniel Mosque now stands. This traditional hypothesis was rejected archaeological excavation and modern best guess is so called Alebaster tomb discovered in place now called Latin cemeteries.

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There is a short history of Alexanders tomb by written by the president of the Hellenic Institute for Ancient and Medieval Alexandrian Studies. And this is the book to read if you want to go in to details of the mystery.