I don’t know which is more stupid … this claim or the fact that a news organization would actually give it any attention at all (to say nothing of a county board of some sort). From the CarmiTimes:
An Iuka man who believes the lost Tomb of Alexander the Great may be located in extreme southeastern Marion County encouraged a county board committee Tuesday night to pursue development of the site a tourist attraction.
Harry Hubbard presented artifacts he said were earlier looted and sold from the underground cave, WJBD Radio reported, along with a number of books and maps that he said confirm the location of the cave.
“The county could be rolling in revenues coming in from the outside,” he told the committee. “Any country in the world would love to have this repository within their boundaries… and it can be exploited.”
Hubbard said he believes gold and riches are still buried in the cave, even after what he calculated was the removal of over five thousand pieces and over $6 million in gold.
The brief report includes this link to a longer story, which I won’t bother to excerpt except this paragraph, which is probably all you need to know:
Hubbard has translated three European based languages on some of the artifacts, confirming the remains are not from American Indians. He believes as many as 50-thousand Europeans fled during the Roman Empire and arrived in the area by coming up the Mississippi River and then followed the Ohio River and Wabash River before traveling up the Skillet Fork to an area where he believes the cave is located.
… photos of some of the ‘artifacts’ are also there, for what they’re worth (not much …) and it’s probably some charitable divinity which is preventing WordPress from allowing me to post the last image there, which has the caption “Hubbard says this rock contains an ancient Latin language that shows the stone is from someone of European descent.” No word on whether Hubbard knows of the, er, non-Roman origins of Alexander. Besides, we know that Alexander’s tomb is in Gevgelija … no, I meant Australia … no, it’s over here, behind the couch …
rogueclassicism 
How bizarre! The location described in this story is not 10 miles from the house I grew up in. Thanks for posting this.
My mother lives in Carmi, so I’m familiar with The Carmi Times. It’s a small world, but not small enough to make Alexander hide in a cave near the Skillet Fork.