Have tried asking Alexa differently?  By that I mean giving the the name and artist for the song, or adding ‘from Spotify’.  Sometimes that helps.

And although your speaking to a Sonos device, Sonos software isn’t handling the request at this point.  Your speaker is sending the request up to Alexa servers in the cloud which will interpret it.  If it understands the request, it will pass on to Sonos servers that pass on to your speakers.  if it does not, then Alexa responds with the message like what you’re hearing.  

So although we can provide some advice, it’s ultimately up to Amazon to resolve.

Hi,

Thank you for the response. I have asked: “Play A Day Without Me by U2 from Spotify”, but it still cannot find the song in my library. I understand that it’s up to Amazon to solve, so how would I go about contacting them regarding this issue?

Thanks,

Open up your Alexa app, then from the drop down menu at the top right, select Activity.  You should see ‘cards’ for each voice request you made,   If you click on More for that card, it will show you what Alexa heard and asking you for feedback.  That should help.

Also from the Alexa app, you can select help & feedback, that has several options for contacting Amazon’s Alexa support team.