It is easy to see where this has come from:
Plutarch makes it clear ('At a later time') that he has combined two separate events, but he doesn't make it clear how much time elapsed between the betrothal (which took place straight away), and the night on which the marriage was consummated. With the auspicious dream though, he is making a tenuous link between the Mysteries of Samothrace and the consummation of the wedding.Plutarch
As for the lineage of Alexander, on his father's side he was a descendant of Heracles through Caranus, and on his mother's side a descendant of Aeacus through Neoptolemus; this is accepted without any question. And we are told that Philip, after being initiated into the mysteries of Samothrace at the same time with Olympias, he himself being still a youth and she an orphan child, fell in love with her and betrothed himself to her at once with the consent of her brother, Arymbas. Well, then, the night before that on which the marriage was consummated, the bride dreamed that there was a peal of thunder and that a thunder-bolt fell upon her womb, and that thereby much fire was kindled, which broke into flames that travelled all about, and then was extinguished. At a later time, too, after the marriage, Philip dreamed that he was putting a seal upon his wife's womb; and the device of the seal, as he thought, was the figure of a lion.
Most historians seem to state that the marriage did not take place until several years later (357), making Olympias Philip's third or fourth wife. This date appears to be based on the assumption that they married the year before Alexander's birth. However, this assumes, for no reason that I know of, that Alexander was their first born child. Infant mortality being very high (something like one in four children not reaching their fifth birthday it has been theorised), the chances are he wasn't their firstborn. We don't even know if his sister Cleopatra was younger or older than he was. It is possible she was a year or so older than Alexander when she was married to Alexander of Epirus, as Alexander doesn't seem to have been in any hurry to marry off his half-sister Thessalonike, who must have been well past marriageable age by the time he died.
The second assumption behind dating Philip and Olympias's marriage to 357 was as a result of Philip's defeat of the Illyrian king Bardylis in 358/7. This supposedly brought him an alliance with the Illyrian's neighbours in Epirus, and with it Olympias's hand in marriage.
Philip would have been about 25 in 357 BC, and had been ruling Macedon for a couple of years. That is scarcely a mere youth. Plutarch's youth would suggest something in the 18-20 age range, after Philip was of age and after he had been released from Thebes. So why wait five or six years before marrying? This isn't Victorian England with lengthy engagements and disapproving parents. Neither of them might have been alive in five years time, especially with Philip's military life. Olympias's brother, who may well have been with her on Samothrace, had given his approval. There may have been a delay while Philip sought his brother Alexander's permission to marry, but it was a valuable alliance so permission is unlikely to have been withheld. At this age Philip had two older brothers and wouldn't have expected to become king, so he could afford to marry for love (romantic novel alert!).
In addition, Philip's firstborn son should in theory have been called Amyntas after his father. His second son may have been called Arrhidaeus after his grandfather, or Alexander after his eldest brother. Alexander should have had a younger brother called Perdiccas too. There is a story (that I haven't been able to locate) that one of Philip's wives and a son had died by the time he married Olympias in 357, but the son doesn't necessarily have to have been the dead wife's. So why cannot Olympias have been Philip's first wife as Plutarch suggests? It would explain a great deal about her bitterness at being divorced by Philip on dubious 'sexual depravity' charges relating to her Bacchic religious activity. These activities can't have been anything new and look like an excuse for Philip to get her out of the way. It would also explain the automatic assumption made by Philip's generals that Alexander was his successor being the son of Philip's first wife as well as his eldest surviving (we assume) and most competent son.
So, there could be some truth in the notion that a son of Philip and Olympias was conceived on Samothrace.