Do Jews say how their alphabet started?
Volumes of stuff on the ‘net about the origins of the Hebrew letters. Much of it is pseudo-Jewish of course, but plenty of strictly traditional too.
See chabad.org, aish.com, torah.org, to start.
For example, each stroke of a pen that makes a Hebrew letter has its own meaning; a vertical line indicates connection between upper and lower worlds.
The traditional Jewish religious view is that God explained the very basic stroke (and vocal) symbol-building blocks and their meaning.
Note that this article is talking about what is called "paleo-Hebrew". The alphabet ("aleph-bet") that we think of as "Hebrew" today is actually Aramaic; different glyphs but the same characters.