Alexa is a service, accessed [via an app] through devices. I have it on my phone and on an Amazon FireTV stick.

It's a matter of taste whether to apply a gendered pronoun to an object. Some people refer to their car as she or he.

Clearly from Amazon's pov it's a marketing thing, but I think you'll be aiming against a rather vicious current of you refuse to use gendered pronouns for tech that we interact with in a human manner.