Alex is the protagonist of Prototype. He was transformed by a virus into a shapeshifting weapon. During the game, Alex tries to find out about his mysterious abilities and defeat the virus that consumes Manhattan.
Since Algonquin in GTA IV is based on Manhattan, myth hunters were determined to find out Alex' Easter egg in the game. However, several people modified Alex Mercer into the game and claimed to sight him, thus creating dozens of hoaxes on YouTube, giving rise to an obscure yet false myth in the game.
However, there is a certain pedestrian in Liberty City that may seem like Alex Mercer, but this resemblance is just coincidental, as Rockstar wouldn't want to indulge in copyright violations, and the fact that the game was released in 2009, whereas GTA IV was released in 2008 makes the myth more false.