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1,048,576 is the Excel row limit. CSV format is not limited to that, are you getting an error or warning exporting the data from Alteryx? My guess is you're running into issues trying to review in excel.
The 1,048,576 row limit is an Excel limit, not a CSV limit. You can create a CSV with over 2 million rows, it just cannot be opened intact in Excel. You would still be able to open the file in a text editor such as Notepad. The question becomes what needs to be done with the 2 million rows of data after processing it through Alteryx. Is someone needing to review each line item? If yes, you may need a database to store the data, but that would be a lot of data to look at. If the data just needs to be browsed, then the text file could be brought into an Alteryx app with Interface tools attached to Filter Tool(s) to narrow the data to what the user needs to look at.
CSV format does not allow for multiple sheets. If you are looking to put all the data into Excel with breaks at each 1 million rows there are a few ways to do this, but you may run into issues writing and opening the Excel workbook. Otherwise, you can break your data into multiple CSV files, each with 1 million rows (remainder in the last) by using RecordID and filter tools; or better an iterative macro if the row number will be unknown. Let me know if you would like assistance with this as the solution will depend on if you are looking for Excel or CSV format.
I was thinking about this and there is a simpler "hack" that might work for your situation without a macro. Look at the attached workflow. It tags the data in groups of 1 million rows, then uses that tagging to create separate Excel sheets or CSV workbooks. It will work for any amount of data lines.