I did something like this that has worked pretty well.
1.) Create a virtual switch/contact sensor. I believe i used this [Release] Virtual Alexa Switch/Button
2.) Create a virtual Light that turns on when the alarm is trigger. (set responses)
3.) Create a smart things automation to mirror the light to the virtual contact sensor. (so it opens when the alarm is triggered)
4.) On alexa create a routine when the contact sensor opens that plays whatever you want.
5.) Make sure the virtual devices reset themselves
You can probably merge steps 2/3 if you have the time into 1 device, but i havent taken the time.
I also use this for announcements like if i forgot to close my garage door at dusk.
Hope this helps