Actually, the
Alamo site does now ask for a member number, but its easy to miss and I don't think it is a required field. To see it, set up a dummy reservation at Alamo.com, put in the Costco code and continue. When you get to the "Almost Done! Review and Book it" screen, scroll all the way to the bottom and you'll see an "Additional Information" section below the Airline information that asks for a member number. That's not the Alamo insider number, but the Costco member number.
From some of the posts above, its sounding like the inability to do online checkin is more related to where the reservation was booked (at a Costco site vs. alamo.com), but perhaps they're also looking to enforce credentials for codes. I haven't rented for a few months but for my Costco discounts, I always look up the codes on the Costco website, but do the booking at Alamo.com. I'd definitely recommend adding your Costco member number as described above; it may save a step or two at online checkin time or at MCO.