The hilarious thing, is that steel is an alloy. Aluminum is not, and magnesium is not, and carbon fiber is obviously not. So the only alloy wheels out there I know of are steel wheels.
I think the "alloy" name came around when they stopped making 100% magnesium wheels for street cars and racing cars and switched to a magnesium/aluminum alloy for a short bit to save a lot on cost and increase durability (at the cost of weight)? And they quickly just went to all-aluminum wheels. I dunno... It's all so dumb.