So I found a way to make the Alexa media player integration use the last device used. A good use case is that I setup a goodnight routine where it'll turn off the light and check to make sure the doors are closed, if they're open it'll give an announcement on device that I said goodnight on that the door is open. You can also use it for actionable notifications. To do it, you just have to setup a template sensor using the code below as an example.

- platform: template
  sensors:
    last_alexa:
      entity_id:
        - media_player.bedroom_echo
        - media_player.bedroom_show
        - media_player.dining_room_echo
        - media_player.kid_s_room_echo
        - media_player.living_room_echo
      value_template: >
        {{ states.media_player | selectattr('attributes.last_called', 'eq', True) | map(attribute='entity_id') | first }}

Then to use it just set the target as '{{ states.sensor.last_alexa.state }}' You will have to use data_template instead of data in your automation or script.