The Alienware Alpha is actually pretty well priced when discounted. But you absolutely can build something of a similar size with more power at a comparable pricepoint. You just need to go boutique with your case, e.g. S4 Mini with a short GPU e.g. https://pcpartpicker.com/list/Tmbhd6 ; or more power if you pick up a short 1070 or 1080 (though then you’re reaching the limits of picoPSUs…)
If you go larger (e.g. Node 202 as mentioned by JThomas, Dan A4, NCase M1), you can get things that even fit a full-size GPU in there - pretty awesome for something sized like
https://www.ncases.com/img/m1/v2renders/M1-v2-18-1500x750.jpg
This definitely is a niche compared to the standard gigantic ATX builds though. Personally using the NCase with a GTX1070 and an OCed 6600K right now. No sacrifice of space, power, or quiet.
NUCs without a GPU like Skull Canyon are an entirely different category, then you’re getting into things like Nerdvana: External GPU Docks