Can we rule out Alexandria, Virginia? Seriously, I see your point. Many cities were named for Alexander the Great. Alexandria of Egypt was singled out by Josephus as one of the top three cities in the Roman Empire along with Rome and Antioch of Syria.
The family of Philo surely had many homes in other places besides Alexandria of Egypt, especially in Rome as they held the status of Roman Knights.
And yes I have read that Part II of Philo's "Mission to Gaius (Caligula)" is now lost, and perhaps other writings that would have shed much light on Pontius Pilot and other contemporary figures.
Also, Josephus promised to tell more about the family of Philo in his writings but obviously never got around to it! Too bad.
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