There was a comic book where Alfred is shown sitting alone in a room, putting on the Joker make-up, thereby revealing him as the Joker.
It was probably an alternate universe, but in which comic book did this happen?
You're most likely describing this scene from Batman: Whatever Happened to the Caped Crusader?. Alfred isn't really The Joker, he's merely pretending to be him.
A quick search brought up Batman #686 ("Whatever Happened to the Caped Crusader? (Part 1 of 2): The Beginning of the End") from February 2009, set in an alternate version of Gotham City. It is revealed that
Batman is dying, and is having an out of body experience in which he is present at his own wake
Alfred is recounting the tale of Batman's beginning, which was not successful. It turns out that
Alfred hired several people to play the role of supervillains for Batman to fight. Alfred himself adopted the persona and visage of the Joker to give Batman a nemesis to focus on. (This story was not true however, owing to the fact that the Joker himself was also present at the wake)