More than a year has passed. I hope my solution still helps.
I suppose you know the Frenet frame and the Frenet-Serret formulas. Let me denote the unit tangent vector and unit normal vector at $\alpha(t)$ by $\mathbf{T}(t)$ and $\mathbf{N}(t)$. Finally, denote $\mathbf{B}(t)=\mathbf{T}(t)\times\mathbf{N}(t)$.
My strategy is to prove that
- $||\alpha||$ is constant, so that (the trace of) $\alpha$ is contained in some sphere centered around $\mathbf{0}=(0,0,0)$.
- $\mathbf{B}(t)$ is constant, so that the curve is a plane curve, i.e., it lies on some plane.
For 1, we differentiate $||\alpha||
^2$ with respect to $t$:
\begin{align*}
\frac{d||\alpha(t)||^2}{dt}=\frac{d}{dt}\alpha(t)\cdot\alpha(t)=2\alpha(t)\cdot\alpha'(t)
\end{align*}
Since the normal line at $\alpha(t)$ passes through $\alpha(t)$ and $\mathbf{0}$, thus the vector $\alpha(t)-\mathbf{0}=\alpha(t)$ is parallel to the normal vector $\mathbf{N}(t)$, and so it is orthogonal to the tangent vector $\mathbf{T}(t)=\alpha'(t)$. Therefore $\alpha(t)\cdot\alpha'(t)=0$. Hence, $||\alpha||^2$ is constant, and so is $||\alpha||$.
For 2, we differentiate $\mathbf{B}(t)$:
\begin{align*}
\frac{d\mathbf{B}(t)}{dt}&=\mathbf{T}'(t)\times\mathbf{N}(t)+\mathbf{T}(t)\times\mathbf{N}'(t) \\
&=\alpha''(t)\times\frac{\alpha''(t)}{|\alpha''(t)|}+\alpha'(t)\times(\lambda\alpha'(t)) \\
&=0+\lambda(\alpha'(t)\times\alpha'(t)) \\
&=0
\end{align*}
Here I write $\mathbf{N}(t)=\lambda\alpha(t)$ because $\alpha(t)$ is parallel to $\mathbf{N}(t)$ as aforementioned. This proves 2.
Since the intersection of a sphere and a plane is precisely a circle, we conclude that (the trace of) $\alpha$ is contained in a circle. Moreover, since the normal lines are contained in the plane, thus the centre of the circle is the origin. $\qquad\square$