Aleksandr (diminuitive being Alyosha) is male. Aleksandra (Sasha) is female. I've never heard anyone male or female called "Aleksa". Perhaps in some regional dialect but doubtful. There's Alik (pronounced AH-l'eek) as a shortened form for some middle-aged men in russian-speaking central asia, and Oleg in russia (pronounced ah-L'EHG).

In the russian diaspora in the US, Alex is pronounced AH-leks. If there was an analogous Alexa (there isn't) the pronunciation would be ah-LEK-sa like the service.