That would certainly get laughs on TV.
It needs a few tweaks in my view:
1. It should be made clear that the intruder is whispering throughout his conversation with Alexa. His every line of dialogue should be preceded by "MAN (WHISPERING):"
2. It should be made clear that the man who comes downstairs is in his pyjamas. That might be well how you imagined it but it doesn't say so in the directions. This makes it clear to viewers that he is the homeowner who has just been disturbed from sleep.
3. The line "Alexa who the f**king hell was that?" is wrong on three counts. Firstly, if this really happened, there is no way he would ask Alexa who the man was. Secondly, the rhythm is wrong. Thirdly, he must shout the line as the whole sketch is improved by the contrast between the intruder's whispering and the homeowner's shouting. The line should therefore be HOMEOWNER (SHOUTS): Who the f**k was that?
I know almost nothing about the workings of Alexa but I suspect she might respond only to instructions that begin with the word "Alexa". If that is so, some pedantic bastard may point out that she wouldn't respond to the homeowners shouted question. What the pedantic bastard is missing is that this is a comedy sketch and the fact that she responds makes her seem all the more human and the sketch a little surreal and - here's the important bit - all the funnier!