My concern is that they aren't just saying that they don't have anything to hand over because nothing exists. Since they're not saying this, I'll assume that they do have something that could be handed over. Alexa? No thanks, I'll pass.
The heart of Amazon’s claim is that Alexa devices could provide insights into a person’s entire life, and having two days worth of audio would be an unreasonable invasion of that privacy. Knowing that law enforcement has the ability to request data from these devices and peruse them at will would have a chilling effect on people using the services—which clearly would be bad news for Amazon’s business.