Yeah, I've never seen such a message, but I don't use Alexa to control anything in my home. But it does sound like that could be it. I've never seen a Roku message of any kind with that wording, so it would seem likely it's coming from an external source. In fact, if it is Alexa, it's likely doing it at the TV level and Roku has nothing to do with it.
Dan Roku Stick (3600), Ultra (4640), Ultra (4670), Ultra (4800), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.