Since your posting lacks replies I wanted to advise you that I have, for the past 5 years, been portraying Alexander in Renaissance Fairs and Highland Games in CA and NV. Please visit my website http://www.borderleague.org
or email me at: firstname.lastname@example.org
and I will share what information I have. Most of it came from CCSA and the Internet.
My mother's father was William Cunningham, born in Edinburgh in the latter part of the 19th C. She was first gen. American, born in VA in 1900. I have no threads back to Scotland through Wm., but discovered that Alexander was quite a colorful character and chose him as my character model.