In openHAB, all your devices are represented as Items. These Items need to be exposed to Alexa following the instructions here. The good news is Alexa will be completely oblivious to the fact that you are controlling KNX so anything you can control through openHAB will be controllable through Alexa.
You will need Rules for this. See Generic Presence Detection for a way to do presence detection using more than one sensor, which can be handy.
Then you would have a Rule that get’s triggered when Presence (using the Item name from the tutorial) turns OFF to then send the OFF command to all the Items linked to your KNX devices that you want to turn OFF.
The best place to start is the Concepts section of the docs.
The biggest thing to realize with openHAB is that the concepts are technology agnostic. Once you have the KNX binding correctly configured and Items created and linked to your Things, you are in openHAB world and no longer in KNX world.
Since you are getting started, a quick read through How to get started (there is no step-by-step tutorial).