Yes. As long as the Move is on your home Wi-Fi.  I guess one other question is in order:

Are you currently using Phillips Hue with Alexa on other Sonos products (i.e. Sonos One or Beam)? If not then there are setup steps that need to done in the Alexa app and in the Sonos app.

Do you need a bridge or can you set it up without. Is so how do you do that. 

I only have a sonos move. 

A Sonos Bridge is not needed. However, the Bridge has been replaced by the Sonos Boost or you can use a Sonos speaker (other than the Move) to create the SonosNet. Even so it’s a moot point as the Move does not interact with the SonosNet.

So how do I set it all up on my move to control lights via elexa? 

OK. First things first

Setup your Move on Wi-fi...click the link

https://support.sonos.com/s/article/2627?language=en_US

Download the Alexa app onto your iOS or Android device and setup an account.

Then under “Skills” in the Alexa app select the Sonos Skill

Setup Alexa on your Move...click the link

https://support.sonos.com/s/article/3517?language=en_US

After Alexa is setup ask her to discover devices. Hopefully, you have already setup your Hue lights and named them. So a command might be...”Alexa turn on bedroom”

Let us know if you need further assistance. We’re here to help!

Cheers!

That’s fairly straightforward...

1. Install Alexa VA  to the Sonos Move via “Settings/Services/Voice” in the Sonos App… follow all instructions and agree to the sharing agreement and install the Sonos Skill .. place/adjust your Sonos products within the Alexa Groups (Rooms). You can adjust these groups later in the Alexa App, if required.
2. Next install the Philips Hue Skill in the Alexa App and add your Hue Bulbs to the Alexa Groups also… it’s a similar setup process, with sharing agreement etc.

Note ...I would always try to use unique names/identities for each of your devices/rooms/groups, just so that it does not confuse Alexa as to what particular device you are referring to in your voice instruction.

Now control your Hue bulbs with Alexa Commands… the comon/popular commands are mentioned on the information and install Alexa page of the Hue Skill, so you can... switch bulbs (individually, or by room/group) on/off, adjust their brightness and change colour etc.

Hope that assists.

More Tips

Make sure your Move has at least 15% charge before attempting setup. I’d let it charge overnight.

Also after all setup is done make sure the microphone LED icon for Alexa is on. See the insert circled in red:

When I try to add Phillips hue to my skills it tries to connect to a phillips hue bridge hub which I haven't got do I need this. 

Yes. You need to purchase the Philips Hue starter kit and additional lights if you need them.

OK great thank you that's the problem then, I've not got a hue bridge.