Macedonia is Greek. Ancient Macedon was a Greek city state, in which Alexander the Great emerged and conquered most of the known world. Macedonia today is a province in Greece with its capital Thessaloniki.
There is a country just north of Greece that likes to refer itself as Macedonia after the break up of Yugoslavia, but they are slav in origin and are in no way related to the Ancient Greek Macedonians.
Although there are numerous references from the ancients (and unfortunately there isn’t enough room to mention them all) the most important evidence is the Archaeological discoveries. Everything that has been found in Ancient Macedonia is only Greek! All the inscriptions on monuments, coins and other artifacts are written in GREEK. Hundreds of inscriptions, both state and private, are all in Greek. The names of the Macedonians written by themselves on their tombs are only Greek! There are no ancient monuments with a different language.
Furthermore there are a large number of discoveries in Asia in the route of Alexander the Great. All these monuments, discovered in Persia, Egypt, Pakistan, Syria, India and many more countries, prove that Alexander’s quest was Greek and that his goal was to spread the Greek civilization all over the world. Don’t forget that Alexander created a gigantic Greek empire and make Greek an international language! His successors continued his worked and they formed the Hellenistic Greek world.