Exactly.
I think the intent of my original question was how make the flavor that I'm familiar with work with the flavor my player would want to introduce.
Well, you've heard a lot of "no" - but if you want to go forward with it, here are some of the bases you have to cover.
1) Scope of the Universe:
One alien means other aliens. How are they going to figure into your expanded Dresdenverse? Do all those cave paintings, Nazca lines, etc. have extraterrestrial explanations after all? Are aliens simply humans who found a way to leave Earth a long time ago and evolved differently? Did they maybe evolve magically, allowing them to leave Earth?
2) Scope of Technology and/or Magic:
Okay, so we have aliens from another world. Is their technology really that advanced? Or can they be fit into the Dresdenverse as advanced magical techniques allowing them to cross space (and time?)? If tech, can it be hexed? Is it so advanced that it is even easier to hex than most anything else on the planet? Is that the real reason we have alien crash sites: the magical equivalent of solar flares bringing their ships down?
3) The Nevernever:
The strong implication is that the Nevernever and its supernatural population, as well as the Outsiders, have existed long before mortal faith/belief/etc. So the Nevernever must logically exist everywhere outside of our geocentric paradigm, including alien worlds. What is their relationship to it? Did they never dabble in magic, effectively limiting their own ability to explore the Nevernever? Or is there something special about OUR world that makes it a nexus of supernatural energies? Can you get to another planet on another galaxy through the Nevernever? Is the void of space, in fact, TEEMING with countless supernatural intelligences?