Yes, a playlist is the answer. You have to add all the tracks you want, one by one, in the right order. Naming the playlist can be tricky; "Beethoven 2" and "Mahler 2 part 1" will work, and I imagine "Rusalka" would as well. Alexa does struggle understanding some composers names; Dvorak is usually OK, but I had no luck with Suk or Britten, for example.
Having said all that, if you can find an album with the whole of Rusalka, it may be enough to add it to your library and ask Alexa to "play album Rusalka from my library".