Please post a screen shot of the footage. It will help us suggest a course of action. For example, the problem may be due more to the lighting technique than anything else.
I work with a lot of Alexa footage and what you're describing sounds like the footage is LOG. You will need to color manage your footage in order to pull a good key. Here are the steps I usually follow:
1. Go into your project settings and set the working space to sRGB. Also set the depth to 32 bits per channel.
2. Go into the interpretation settings for your footage, go to the Color Management tab and assign the Universal Camera Film Printing Desnsity profile. You can copy and paste this interpretation setting onto all your other footage items in the bin that are from that camera. Sometimes when I use this profile it causes some of the highlights to clip so I use the "Kodak 5218...." profile instead which produces a slight color shift but retains the highlights better. (Hopefully Adobe will add an Alexa profile here sometime soon so this will be a little more accurate)
Your footage should appear more "normal" now and you should be able to pull a good key with Keylight. This will make your comps slower however I've found it yields the best results. One way to speed up comp interactions is to go to the RGB button in your comp window and disable Use Color Display Management. This will make the colors less accurate but it should speed up interactions. I turn this back on at the end to check my color.
What's also great about this workflow is you can use the color management to render back to ProRes4444 LOG so that your comps match the footage when it's graded. Just look in the output module settings to set a profile. I tend to add a second output module so I end up exporting a ProRes4444 LOG and a ProRes Proxy sRGB so both our finishing and offline departments have files that work well for them. This workflow may not be the most technically correct way of doing this but I've had great results for hundreds of comps. Good luck!
Thanks a lot it greatly improved my keys! It saved my project...