On Nintex 365, I really need to query the user profile the Alias value.

You have "Office 365 Query User Profile" action in the "Libraries and lists".

But not in the form - which is where we need it

Right (my answer was for Nintex Workflow for Office 365).

The theory: User profiles REST API reference

In the next link, you have an example : Vardhaman Deshpande: SharePoint 2013: Get UserProfile Properties with REST API

Just a note about the example: it is for SP OnPrem. Replace the "_spPageContextInfo.webAbsoluteUrl" by a request on the querystring to get the "SPHostUrl".

helpful. I had the same question.