We have equality if $\alpha=1$. So we can assume that $\alpha\lt 1$. We have equality when $a=b=0$. So without loss of generality we can assume that $b\gt 0$. Then our inequality is equivalent to
$$\left(\frac{a}{b}\right)^\alpha+1\ge \left(\frac{a}{b}+1\right)^\alpha.$$
We will show that
$$x^\alpha +1\ge (x+1)^\alpha\quad\text{when}\quad x\ge 0.\tag{1}$$
Setting $x=\frac{a}{b}$ will yield the desired result.
Let $f(x)=x^\alpha +1-(1+x)^\alpha$. To prove Inequality (1), we will show that $f(x)\ge 0$ for all $x\ge 0$.
We have $f(x)=0$ when $x=0$. We will show that for $x\gt 0$, $f(x)$ is an increasing function. That implies that $f(x)\gt 0$ for all $x\gt 0$.
Note that
$$f'(x)=\alpha\left(\frac{1}{x^{1-\alpha}}-\frac{1}{(1+x)^{1-\alpha}}\right).$$
Thus $f'(x)$ is positive if $x\gt 0$, since $x^{1-\alpha}\lt (1+x)^{1-\alpha}$. It follows that for $x\gt 0$, $f(x)$ is an increasing function. Since $f(0)=0$, this completes the proof.