I have checked with Sonos, and they have confirmed that you cannot ask Alexa to play tracks from your own library.
Further, they have no plans to support this.
As much as I love my existing Sonus setup, and as much as I want to try Alexa out, I do NOT want to sign up to a music service when I have a large quantity of my favourite music already in my home Sonus library.
I have no idea of the technical challenges involved with this. Given your voice command is uploaded and parsed somewhere else, it may be too difficult to send back the results to the sonos controller to access the local library.
None the less, I wanted to start a conversation to see if I am alone, or if this is something a lot of people want.