The word Alien is usually used to describe extraterrestrial lifeforms. In other words, species that are not from Earth. Most aliens are from other planets, but some aliens live in other dimensions, on moons, and at least one alien race lives on the sun. Their are millions of alien races throughout the universe, and the greater multiverse. Technically, a human from a parallel universe could be considered an alien, but as earlier stated, the term usually applies to extraterrestrials. An extraterrestrial is NOT from Earth. A human from another universe wouldn't be from the same earth, but still earth. So technically they are not aliens.
Sometimes the word Martian is used to refer to aliens, as it has long been believed that the planet Mars is inhabited. This in fact is true, as the world was once populated by humanoid shapeshifters such as the Green and White Martians.