In Rudyard Kippling's "The Man Who Would be King," in Dravot's mind, who are the "sons of Alexander" and the "common, black Mohammedans"? Dravot says: Nobody is going to be shot or speared any more so long as he does well, and I know that you won't cheat me because you're white people—sons of Alexander—and not common black Mohammedans. You are my people and by God, says he, running off into English at the end—I'll make a damned fine Nation of you, or I'll die in the making. (pages 987-1011)

The words Kipling puts into the mouth of his protagonist, Dravot, are a reflection of racial and colonial attitudes at the time of his writing this story. Dravot has set himself up as a king, having entered into a contract with his friend, Peachey, according to which they will be joint kings and will rule together over the people they have taken as theirs.
Dravot lives according to a certain standard of Englishness, but he seems to equate this with a broader type of Western ideal which he associates with Alexander the Great. Alexander the Great was held by many to be a god, both in his lifetime and afterwards. There are many stories suggesting that Alexander the Great and his men fathered children with the native peoples in many of the lands he conquered.
According to Dravot, the people of his Lodge—the people of whom he fancies himself king—are the product of these relations between Alexander and the natives. They are "sons of Alexander" in that they are not actually full-blooded natives of their own land but instead have the blood of Alexander and his men in their veins. This distinguishes them from the "common black Mohammedans," the Muslim people from other tribes in the area with whom there are constant and sometimes violent squabbles.
Of course, Dravot's belief is founded in racist ideas. He points to the way the people of the Lodge carry themselves, their noses, and their general attitude as evidence that they must be at least partially white, because he does not believe anyone other than white people can attain the ideals he believes in. Dravot feels that the people who follow him are "really" English as a result of their secret heritage. The only evidence he has for this, however, is simply his own perceptions and prejudices. The fact that they relate to and behave towards him in (what he thinks is) a correct way drives this belief.