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'Alpha' is the name of the letter written using the Roman alphabet. It would have been written as 'A' in upper case or 'α' in lower case in the Greek alphabet. The Greeks wouldn't have written 'Alpha', they'd simply have used 'A' or 'α'. In the same way that we wouldn't write 'double-u', just W or w.
If Alpha is the first letter of the Greek Alphabet, then what is the "A" at the start of Alpha? That can't be Alpha too.