hey @randreag
Not sure on DocumentDb exactly, but if it is just mongodb hosted in AWS, i dont see why not.
The following tutorial should help you set it up:
https://community.alteryx.com/t5/Alteryx-Server-Knowledge-Base/How-to-Create-a-User-Managed-MongoDB-...
Sorry i cant be any more help!
TheOC
I was able to integrate Alteryx Server with DocumentDB succesfully BUT you need to disable TLS in the DocumentDB parameters.