Monica, I assume you are referring to the necklace shown below on the left? I'm not sure that ever belonged to Queen Alexandra.
Here is a summary of information I read years ago on a message board that is no longer accessible:
The piece on the left is identified or described in Menkes (which I don't have) as Queen Alexandra's collier résille. Her source was Cartier: Jewelers Extraordinary by Hans Nadelhoffer, 1984. In that book the two plates above are shown next to each other or on opposite pages. The caption of the one with swags and bows does identify it as having been made for Queen Alexandra but I don't recall what the other one said. It is thought that the two captions mistakenly got swapped, causing the confusion. The necklace on the right appears to be the one worn by Queen Alexandra and Queen Mary, whose alterations would have included the removal of the garland borders.
It will be a couple of days before I can visit the library in my city that has Nadelhoffer. Perhaps someone who has it can verify this story?