There are far less contemporaneous sources for Alexander the Great than there are for Jesus of Nazareth. So perhaps Alexander didn’t really conquer all of that land, and he’s an amalgamation of Macedonian and Greek rulers who invented him to glorify and justify their gradual conquest of Egypt, Asia, and Persia. And everyone in these countries like Seleucids and Antagonids got together to agree on a founding myth.

Or, you know, the theory that doesn’t rely on a historical conspiracy.