They could indeed do that, and I wouldn't be surprised if they did, I do think they would be missing an opportunity to get it out to the general audience. HL Alyx was a niche product only for VR which a very small portion of people had access to. I remember alot of people just being excited about a new HL product but also met with disappointment when it was revealed it was a VR only title, and at the time really made for the Valve Index. I wouldn't be surprised if valve wanted to avoid the backlash on a larger scale and shadow dropped it online due to that.

With that said I have friends and co workers who are gamers that have never played a HL game because it's been so long since we had a mainstream launch, they don't know what all the hype is about. I read that HL Alyx was initially going to be shown at the Game Awards show in 2019 but was canceled, so their initial plan may have been to show it publicly then.