Well, that is not what you asked. You asked "How can I get a good selection of classical music? Not the same thing.
Listening to one's own music is easy, and there are quite a few choices, depending upon the gadgets you have. You can listen to it via bluetooth on an Echo, Dot etc from a computer, smart phone or tablet. If you have a fully setup home network and a NAS server you can listen from that source by using a phone or tablet with the appropriate app and send it to Alexa via bluetooth.
There are a lot of posts here that discuss using BT. Look for some. You also should look at amazon.com Help tab.