While you can't directly put the alert into the report, except via a metric group, we do have a feature where you can include a Yellow Line and a Red Line which follows the Caution and Danger lines of an alert.
In the Report Template Editor, if you click on Display Properties tab, scroll down and locate the following:
Yellow Line Value
Yellow Line Label
Red Line Value
Red Line Label
You can add the metric group from the alert into the report, add the Yellow (Caution) value in and the Red (Danger) value in there and then click apply.
For clarification, you could add "Caution" and "Danger" to the Yellow and Red Line Labels respectively.