I'm assuming you mean to use GeoFencing to recognize when you get to your house, and a trigger fires to turn on the lights, without any action by you.
Alexa itself cannot do that.
Nest Thermostat does have GeoFencing, and can change its state.
If you have Hues lightbulbs, they might hook into IFTTT (I'm pro smart-switch, not a smart bulbs)
IFTTT could then watch the Nest state change to "home" and then trigger Hues to work. But that can be slow.
Since I am a smart-switch guy, i'll tell you how I do it:
Samsung SmartThings2 Hub (ST) is the brains.
GE Z-wave switches on one light per room (at least).
ST exposes all my z-wave stuff to Alexa so voice commands work
ST also has GeoFencing so it knows when I'm Back (the name of the template it has for that purpose)
That routine fires when my iPhone gets close to home and turns on what I set it to (the front porch light)
SmartThings or Wemo are the top hubs with the most protocols they support (z-wave, zigbee and more). Most future proofing I could get. I use z-wave smart light switches or outlet adapters (GE is my preference). Everything has a mechanical switch for WAF (Wife Acceptance Factor) or tech outage. Either of those hubs will smoothly translate all that stuff to Alexa, ensuring you'v got brains AND voice commands.
Smart bulbs have their place, mostly for renters. I'm looking into making custom lamps with Z-wave adapters built in AND physical switches wired up correctly. Hues can't touch that, and Phillips' smart lamps are ugly as they are over-priced.