Each player can have several characters. Each character is distinct and nothing is shared, neither resources, nor diamonds, nor alliance…
You can't create a character on a state that already contains one. You have to create it somewhere else and then bring it back. To do this, you must:
Immigration flights can be found in the alliance store (so you have to find a nice alliance that will provide them) or can be bought with money from level 15.
Each character can only be a member of one alliance at a time. To change alliance, you must first leave the first alliance (Menu alliance / Operations / Leave alliance) and then apply for the new one.
The alliance coins are kept. So there is no need to spend everything in the alliance store before the change!
On the other hand, the contents of the alliance storehouse must be retrieved before leaving, otherwise they will be lost.