For $\alpha>0$,
\begin{align*}
\log a_{n}=\dfrac{(1/n)\displaystyle\sum_{k=0}^{n-1}\log\left(1-(k/n)^{\alpha}\right)}{1/n},
\end{align*}
we see that
\begin{align*}
\dfrac{1}{n}\sum_{k=0}^{n-1}\log(1-(k/n)^{\alpha})\rightarrow\int_{0}^{1}\log(1-x^{\alpha})dx<0,
\end{align*}
so $\log a_{n}\rightarrow-\infty$, so $a_{n}\rightarrow 0$.
Now consider $\alpha<0$, write $\alpha=-p$, $p>0$, we first deal with $(-1)^{n}a_{n}$, then
\begin{align*}
\log(-1)^{n}a_{n}=\dfrac{(1/n)\displaystyle\sum_{k=0}^{n-1}\log\left(1/(k/n)^{p}-1\right)}{1/n},
\end{align*}
we see that
\begin{align*}
\dfrac{1}{n}\sum_{k=0}^{n-1}\log(1/(k/n)^{p}-1)\rightarrow\int_{0}^{1}\log\left(\dfrac{1}{x^{p}}-1\right)>0,
\end{align*}
so $\log(-1)^{n}a_{n}\rightarrow\infty$ and hence $(-1)^{n}a_{n}\rightarrow\infty$. If it were $a_{n}\rightarrow L$ for some real number $L$, then $(-1)^{2k}a_{2k}\rightarrow L$, a contradiction.