Check the service is available where you reside and ensure your online Sonos profile is set to the correct Country settings. Also see these links to perhaps assist…

https://support.sonos.com/en-us/article/set-up-amazon-alexa-with-a-voice-enabled-sonos-speaker

https://support.sonos.com/en-us/article/set-up-an-amazon-alexa-device-to-control-sonos

Assuming that you are in a supported location as ​@Ken_Griffiths has detailed, can you temporarily uninstall the Amazon Shopping App and re-try adding Alexa. Once the account linking process is complete, you can reinstall the Amazon Shopping app.