Add troubleshooting section to Alexa Devices (#40110)

source/_integrations/alexa_devices.markdown

@@ -98,6 +98,32 @@ The **Alexa Devices** {% term integration %} provides the following entities:
 - Sensor - temperature and illuminance sensors
 - Switch - Do not disturb
 
+## Troubleshooting
+
+### Can’t set up the integration
+
+#### Symptom: "Wrong Country"
+
+When trying to set up the integration, the form shows the message "Wrong Country".
+
+##### Description
+
+This means that the settings in your Amazon account are not aligned to the country you specified.
+To fix it, please go to <https://www.amazon.XX/hz/mycd/preferences/myx#/home/settings/payment> (replace XX with your country domain. For example **co.uk**):
+
+- "Kindle payment": check your default address is in your country
+- "Country/Region": check your country
+
+#### Symptom: "Not found"
+
+When trying to set up the integration, the form shows the message "Not found".
+
+##### Description
+
+This appears to indicate that your Alexa devices aren't owned by you, but are connected through Amazon Family.
+This setup isn't supported by the Alexa Mobile app, so it's not supported by this integration.
+Move the devices to your primary account.
+
 ## Removing the integration
 
 This integration follows standard integration removal. No extra steps are required.