Praise be to Allah, the Lord of the Worlds; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions.
Dhul-Qarnain was a pious and very religious King. He was not Alexander the Great as Greek historians and those who followed them claimed.
As for the Ummah where he was, the historians did not give a definite answer; some say he came after Moses. Others say he came after Jesus. A third group believe that he was in the era of Ibrahim and Ismael (PBUT). Gog and Magog "Yajuj and Majuj" existed in the era of Dhul Qarnain as in 'Surat Al-Kahf' and they will appear again before the end of this world as mentioned in the Qur'an. Allah says: {………but when the Promise of my Lord comes, He shall level it down to the ground. And the Promise of my Lord is ever true."} [18:98]
The Sunnah also affirmed this. As to their existence now, this is from the Unseen, known only by Allah, as there is no explicit text in Qur'an or Sunnah that proves this. So, we should not talk about this as its knowledge is only with Allah.
Allah knows best.