Well, no, it wasn't a Roman colony, because the Romans never sent anyone to settle there and populate the place. Considering that at the time of the Battle of Actium, Alexandria was a larger and much more economically important place than Rome, the idea that it needed to be colonized would have been considered absurd.
Egypt was, instead, initially an imperial province - essentially a miniature nation-state administered by the Emperor's agent for his personal benefit, instead of being under the control of the Senate.
What about Antinoopolis founded by Hadrian? There may have been other Roman colonies in Egypt.