Letter that's first into scalp-hair (5)

I believe the answer is:

alpha

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'letter' is the definition.
(NATO phonetic alphabet)

'into scalp-hair' is the wordplay.
'into' indicates a hidden word.
'ALPHA' can be found hidden inside 'scalp hair'.

'that's first' is the link.
I am not very happy about this link. Some or all of it may belong to another bit of the clue.

Can you help me to learn more?

(Other definitions for alpha that I've seen before include "Beginning" , "Most prominent star" , "As heard on radio, a" , "European character" , "Dominant" .)

I've seen this clue in the Sydney Morning Herald.

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