That's all he has left. His parents were born and raised in much bigger, stronger and meaningful country but that country fell apart in tiny little pieces. FYR Macedonia is a special case because before Yugoslavia (kingdom) became a thing, that territory was split between Serbs, Bulgarians and Greeks. And even before there was Ottoman Empire. Before Ottomans it was part of Serbo-Greek Empire and previous to that part of ancient Serbia, Bulgaria and goes back to Romans and of course Greek.
It's easy to understand why they pursue Alexander myth, it's the only time in history when people who lived in that area had independence, power and influence. Of course, people who occupy that area today have nothing to do with Greeks but they won't admit it because illusion would go away.
They aren't much different from Serbs or Croats actually. Each of them is trying build some national myth, to forget about the fact how non-important each of them are in today's world and that their only value comes from being part of Europe and EU.