Born in 1892 to a wealthy middle class London family, Roby dropped out of Peterhouse prior to knocking around the Foreign Office for a couple of years. He left the FO and spent his time studying fringe interests (astronomy, art, the occult) and mixing with people of whom his family did not approve.

He was at one point engaged to Delia Hartston, but Delia broke this off in late 1925.

On October 14th 1926 Roby's father Herbert and sister Georgina were brutally murdered at the family home in Curzon Street. Alexander was the also at home, and initially claimed responsibility. He was arrested, but instead of being charged with the Roby Murders was committed to St Agnes Asylum. The papers committing him were signed by Doctor Charles Highsmith, Roby's older brother Grahame Roby and the Roby family physician, Doctor Lionel Trollope.

Highsmith believes Roby suffers from 'sympathetic mania', which manifests as severe night terrors, or scotophobia, that start each year at the anniversary of the murders and continue until the Spring. These attacks are being well-managed with laudanum, and Highsmith believes him fit for release to the care of his family or a convalescent home. Highsmith also believes Alexander innocent of the Roby Murders.

During their investigations, the party discovered the following about Alexander:

• His release hearing is scheduled for November 30th 1928.
• Roby spends his time studying poetry and has made unusual marginal notes in his poetry books referring to various elements common to both the play Carcosa, or The Queen and the Stranger and Robert W Chambers' 'King in Yellow' stories.
• He made an unusual statement to Dr Bartlett.
• In 1923, Alexander's book of dream poetry, Der Wanderer durch den See or 'The Walker by the Lake', was released by Whitehall Press, a vanity publisher.
• In November of 1925, Grahame Roby hired Vincent Tuck to follow Alexander for three weeks to find out what he was doing when he was away from home. During this time, Roby spent his evenings with Lawrence Bacon, Malcolm Quarrie and a man called Edwards, meeting at Bacon's antique shop in Liverpool Road. Sometimes Roby stayed there until the early morning. Roby also visited the British Museum reading room once during this period, and also had a loud public argument with Delia Hartston, which may have signaled their breakup.
• The meetings with Bacon, Quarrie and Edwards were corroborated by Delia, who also mentioned Roby spending time with a man called Coombes who appeared to act as some kind of hired muscle for Bacon. Delia broke up with Alexander because of his increasingly erratic behaviour at this time, and says that when she last saw him he was continually talking about the 'nine teeth' prepared in the Suffolk village of Clare Melford for some great event due to take place in December 1925.

On December 30th 1928 his release hearing was held and his release approved, but before he could be transferred to the Kent rest home chosen for him he disappeared. At first he was believed to be murdered, but the facially mutilated corpse was later identified as nurse Thomas Clarke and is was realised that Alexander had either absconded with, or been kidnapped by Montague Edwards who had been at the Asylum all along posing as Nurse Mark Evans.

A few days later, Alexander sent a note to Delia Hartston asking her to meet him at Loch Mullardoch in Scotland.

Roby, it turns out, had been planning, with Edwards, to summon the mystical city of Carcosa to Earth. He succeeded in this endeavour, but was made to regret his actions when Edwards seized control of the city and attempted to summon The King in Yellow.

Roby met with the investigators when they came to Carcosa and enlisted their aid in helping him to stop Edwards. The group was aided by Yolanda and were holed up in her room when Roby came to the conclusion that the only way to stop Edwards was to end his own life and thus the force that was holding Carcosa on Earth. Nathaniel Browne managed to convince him instead that he should attempt to use the Chime of Tezchaptl to absorb and turn back the energy of the ritual Edwards was using to summon The King in Yellow. Although Edwards was defeated, it is unclear whether it was by the action of the chime or by Roby's suicide, as the investigators were fleeing the city at the time, though the fact that the thousands of Byakhee perched on the palace walls swooped into the palace with a raucous cry just before the Investigators escaped points both to the fact that Roby successfully used the chime and that he is now dead.