"The descendants of Alexander's armies" is a pretty common trope across Northern India, Pakistan, Afghanistan and parts of Iraq. I doubt all the claims though
Coming back to Malana, the language they speak, Kanashi, is not an Indo-European language in roots but rather a Sion-Tibetian one.
True, although they do seem to actually have the world's oldest continuous democracy, from what I've read. Could give some credence to their other claim.
Ethnologue mentions this fact too, in the comments, although they got the religion wrong, so take it with a grain of salt (they are not Hindu, but worship a god named Jamul, who's will is interpreted by an Oracle. But they are very adamantly not Hindu).
https://www.ethnologue.com/17/language/xns/
Coming back to Malana, the language they speak, Kanashi, is not an Indo-European language in roots but rather a Sion-Tibetian one.