Alonso can be found at a bus stop in Beechwood City, Broker. He talks in a medieval-fashion Middle English and appears to be insane or high. He eventually requests Huang a ride to the bus depot. After arriving at the depot, he attacks a Bus, thinking that it's a dragon. The reward for completing this mission is $10. The player can kill Alonso but his death won't affect the storyline.
Alonso is a reference to the character Don Quixote from the novel of the same name by Miguel de Cervantes. Quixote, whose real name is Alonso Quixano, fancies himself a knight fashioned after those of medieval Europe and embarks on various misadventures, often leading to misfortune due to his delusional mindset. A famous example is his attacking a windmill that he perceived to be a hostile giant, and being injured when he is struck by the blades.
After completing his random encounter, Alonso will continue to attack the bus until it explodes, killing him. The player can help him by attacking, using projectiles on, or shooting the bus until it catches fire. Ambulances will not come to save Alonso, but the player can by moving the bus away from him. He will then become a random pedestrian and multiply.