Here's a workaround:
1. Create a Multiplayer (Hotseat) game.
2. Turn off duplicate leaders.
3. Add in one more player than you'd normally have (e.g., if you normally play with 8 civs, set it to 9 instead).
4. Have two human players, one as Alexander, and one as whomever you actually want to play.
5. Set all other settings to whatever you want.
6. On Alexander's first turn, have him delete his starting settler.
Now you won't have Alexander in the game. This might mess up start locations a little (although they're generally not evenly spaced anyway, so it probably won't be noticeable outside of certain maps like Snowflake), and you'll get a sneak preview of a small corner of the map where Alexander spawned (which probably won't tell you anything important unless he spawned near a city state, natural wonder, or another civ), but for the most part, you'll get a normal game without Alexander.