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I don't think the marriage would not necessarily have taken place at the Consulate. The marriage took place somewhere in Alexandria, and was registered by the British Consul. Hence the marriage is on what are known as the Consular Indexes.

What I find strange (as did Frank's solicitor in the court documents when Frank was sued) is that Frank registered with the Consulate when he first came back to Alexandria. Alice (my great aunt) was trying desperately to find him and had received information that he was in Alexandria. She wrote to the Consulate who then denied any knowledge of Frank's whereabouts.

Then after he received the telegram saying that Alice had died they then registered the marriage between Frank and Alexandra.

How can they, on one hand, know that he is there through his registration, deny that he is there to Alice, register Frank's marriage to Alexandra & then sue Frank for bigamy. It seems highly irregular/suspicious (Frank's solicitor made the suggestion that the Consulate should be sued for fraud, according to his comments in the court papers). Or is it just different departments not knowing what one hand is doing whilst the other is doing something else. Either way, Frank, Alice, Alexandra and the others where the ones who suffered.

I wonder if they paid for an announcement in the Cairo or Alexandria press at the time?

From what we know, the marriage happened very quickly. Frank had received a telegram saying that his first wife Alice Emma Wrench had died (which later proved to be incorrect). I believe the telegram was sent some time in May from what I remember of the documents I've seen. Frank's marriage to Alexandra was in September of that year.
Would there have been time to post an announcement? How would we find newspapers in the area at that time?
From what I've read, the marriage was performed by the British Consulate. Was that normal? Would there be records of that?

There is a lot of significant background information on this thread http://www.rootschat.com/forum/index.php?topic=750863.msg5990612#msg5990612

I would be worth asking if the person who initiated that thread has a copy of the marriage certificate and ask for the details. This should give you more background information about Alexandra Mallia.

Alternatively you could order it yourself from the GRO. The reference shown on the GRO Consular Index for 1921 - 1925 is Alexandria 16, 204. Please note that on the index the bride's christian name is Alexandra, not Alexandria.

There are more details about ordering an overseas/consular marriage certificate here
https://www.gro.gov.uk/gro/content/certificates/most_customers_want_to_know.asp#Overseas
Edit I see that Stan had already posted this GRO link on the other thread.

The lady's name was Alexandra, she and Frank married in Alexandria :-) It all gets very confusing :-)

I met Kevin last week & have given him all the material I have. His grandfather is my great uncle :-) I am the person who started the other thread :-)

Thank you so much for all the information. I phoned my aunt to tell her about everything you've discovered and she was astonished by it all and sends her thanks :-)

Nicola