Alkanes have no functional group that can be effectively solvated by the water molecule. On the other hand, an aldehyde possesses a terminal carbonyl group #RC(=O)H# that can be solvated by water to allow some solubility. On the other, other hand, short chain alcohols, methanol, and ethanol, are effectively half a water molecule, and the influence of the hydroxyl group dictates their miscibility with water.
From the earliest lessons in chemistry, we learn that #"like dissolves like"#. This is certainly illustrated by the water solubility of #"ethane"#, which is much less water soluble than #"acetaldehyde"#, which is much less water soluble than #"ethanol"#.
As the chain length of the alcohol grows, the solubility of #ROH# will likewise DECREASE in water, as the interaction between the hydrocarbyl tails becomes significant. On the other hand, while #"ethanol"# is miscible with hexanes, #"methanol"# is immiscible with this solvent, and will form a layer below the hydrocarbon, just as water would. Can you account for these phenomena?