Cheyne was a typical stand-out inside forward of his day with bags of control and skill, but his special trademark was his famous body swerve that invariably fooled his opponent. Alex's stylish performances in the "black and gold" soon had the Scottish selectors watching with interest and it came as no surprise when he was named in the Scottish side to face England at Hampden in 1929. Alex took the field alongside Alex Jackson, who was still at Huddersfield, but Jackson lasted less that a half before retiring with a broken arm. Cheyne was thus handed the task of combining his roles on the right flank and was asked to take the ball for "walks" up the right flank as Scotland sought to hang on with ten men. Inside the final minute, on one such foray, Alex Cheyne forced a corner. He took the kick himself and scored with an incredible in-swinging shot. The Hampden crowd roared themselves hoarse from then to the final whistle and the "Hampden Roar" was born. The game itself became known as "Cheyne's International". The fact that Alex played only one more time for Scotland was less a reflection on Cheyne himself and more a statement on the quality of inside forward Scotland had to choose from at the time.

In June, 1930, Alex continued the rising trend for Scottish internationals to head south when he signed for Chelsea for a new Dons record of £6,000. In 1932 he became one of the first British players to join a continental club when he signed for French side Nimes. After two years in France, Cheyne returned for one more season at Stamford Bridge before moving in to coaching with Chelmsford in the late 1930s. After the war he became manager of Arbroath, a job he carried out until 1955. Alex Cheyne died in 1983.