I don’t have a Wyze door sensor. Mine is made by by another company. I’ve been using it with Alexa for some time now.
Here are some of the ways that worked best.
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Have Alexa say “door open” when the contact is broken and/or “door closed” when the contact is closed.
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Have Alexa start a playlist on a nearby Echo Dot speaker when the contact is broken and stop play when the contact is closed. The playlist can be a song that just plays a tone.
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Have Alexa turn on a light near the door when the contact is broken and turn it off again when the contact is closed.
Number 1 got annoying real fast. Number 2 works for the garage door, but for regular doors, playing music for a few seconds got annoying too. Number 3 turned out to work the best.