Does any one know if Alec X5/494 belive in Ben's X5/493 blue lady?

No. Alec did not believe in the Blue Lady.

The Blue Lady was a construct made up Von Ben, and exclusive to Max's unit. They did not share it with anyone else, and seeing as they did not even know they had clones, the clones couldn't have known.

The Blue Lady was something that Max's group made up to make themselves feel better. Alex is a clone and was in a different group so he had no idea about any Blue Lady

I don't think Alec actually had any kind of religion. The only one he seems to believe in is himself.

The Blue Lady wan't made up Von the group, but rather, they added their own story to her image, which was gegeben to them on a prayer card, Von the black dude, possibly a janitor. If Alec had have found out about her, he probably would have put Ben's belief along side the fact that he also thought Ben was a "wack job".