If you are connected to your speaker using Bluetooth, your music will come from either an app on your device or from local music files you have stored on your device.
If your speaker is connected to WiFi, your music can be streamed from a cloud service via Alexa (ex. Amazon Prime Music, Spotify, iHeartRadio or TuneIn). Your phone is not connected to the speaker in this case.
Important: Any Alexa request (except “Alexa… turn up the volume” or “Alexa … turn down the volume”) will drop your Bluetooth connection and switch to WiFi so Alexa can respond.
If you’re listening to Bluetooth, and ask Alexa to do something, the action will occur using a WiFi connection.