That's not how scenes work. Remember, a scene is stored outside the ISY.
Alexa can only issue commands to the ISY so look at Alexa ss a middle man to pass orders. In this case it can't be done in the ISY. I don't think you can do it in s program either.
However, I think that's a nice feature to have so maybe UDI could look at this after 5.0 goes into producton.
Gary Funk
Merry Christmas