I’ve done some quick search on the name Alexander Andersen (in Norwegian) and not come up with anything usefull. I have also had a look at the 1900 and 1910 census but not found a suitable candidate, but then again he might have been in Spain in this periods.
Also bear in mind that Alexander might not be The Ambassador but employed at the embassy or conulat, he might also have been an honorary consul.
You could try to contact The Regional State Archives in Oslo and ask if there is any way you can find out if he was employed at the Embassy, Consulat or held the title of Honoray Consul in Spain in that time period.
The Regional State Archives in Olso: e-mail: saoslo(a)arkivverket.no
Then I would advice you to find Adolfo’s baptizm record, marriage record, death record, nautraliszation records etc.
Records like that could reveal more information regarding his father, like when and where he was born.