What's your model? It depends on your model.
For 55Q1, 55Q1 Pro, 55U1, and 50U1S, 55U1S, 65U1S, you don’t need any other support to work with Alexa.
For 43Y1, 32Y1, and 40Y1, you need to download and install an “OnePlus Work With Alexa” app, you are able to use volume control and input control functions.