The Nine worthies were a literary creation of the High Medieval Period. They did not really exist prior to the 14th century and it was only after the groundwork of chivalric culture had been laid in the literature and art of the prior two centuries that we see the application of these ideas onto the early Medieval and pre-Medieval figures. Without the ground work that laid out the establishment of figures such as Alexander, Caesar, Charlemagne, and Godfrey as chivalric exemplars par excellence there is no tradition of the nine worthies.

So the answer for the origins of these figures lies in the reception of them in the Middle Ages, and especially in the flowering of literary culture starting in the 12th century. It was through works of history or as the case was, "history", that extolled the lives of figures like King Arthur and Alexander the Great that their reputation as chivalric figures was laid. It does not take much to conclude, looking at the historic life of figures such as Alexander, Caesar, and Charlemagne that their chivalric reputation is a little hard to discern. Alexander in life for example is often characterized as hot headed, impulsive, and given over to excesses. The Medieval Alexander though is the picture of a wise and just ruler, who combined virtue on the battlefield with virtue off of it (even if he did kill his real father the magician-pharaoh in exile depending on the romance tradition that you're dealing with) and the same was true for figures like Caesar and Charlemagne. Caesar and his reputation for law breaking, starting civil wars, and the like were conveniently overlooked, as was Charlemagne's reputation for brutality against pagans.

The other figures are less complicated. David was an extremely popular figure among Medieval kings, and Judas Maccabee enjoyed a surge in popularity in depictions during the Medieval era. Hector is a little interesting for me personally because I am not sure how he was diffused through this period, especially given the paucity of Greek knowledge in western Europe and other pagan Romans such as Trajan, Romulus, and others who enjoyed heightened status in the Medieval period as well.

Now as for the composition of the nine figures, I've looked around and I cannot find any cases of there being alternative entries in the canon, for the men. There were a number of attempts to craft a feminine counterpart for the Nine worthies that looked at women figures and they tended to vary a good bit based off of time and place, but the nine original worthies do not. That is not to say that there are no variations, particularly in their depictions of their coats of arms. The figures of the nine worthies, Hector, Alexander the Great, Caesar, Judas Maccabee, King David, Joshua, and King Arthur, Charlemagne, and finally Godfrey of Bouillon, are attributed various different coats of arms, and some of these are relatively static. Caesar gets the double headed eagle of the later Roman Empire, Charlemagne gets half an eagle and half a field of lilies (half Germany and half France) and Godfrey gets the Jerusalem cross, and the others are no different, but they do change. Most of them receive arms that relate to their lives in some capacity, for example King David receives a Harp. Others are a little more obscure. Alexander in particular seems to get a bit of variation in his arms, and while a cursory glance of google suggests that he received a seated lion bearing a halberd, he has also appeared with three crowns over a red field, a bull, a griffon, and more. There is similar diversity for Hector, Joshua, and King Arthur sometimes gets different colors for the crowns he usually appears with.

As for the extent of these depictions similar to the genres of romances these were pan European depictions. There are surviving manuscript and sculpture depictions of the nine worthies from Germany, Italy, England, France, Portugal, and Spain. I haven't been able to find many examples of them from farther east, and I don't think that they would be. The reputation of figures like Charlemagne in the Byzantine world especially would likely preclude his prominence.