Yes some adventures might have been done with other people but its even stated in the Encyclopedia Eorzea that we fought through the Aetherochemical Research Facility and against Thordan completely alone. So we canonically defeated Regula, two Ascians and Thordan and his 12 highly trained knights alone! The same is written about Ravana.This should have been more than enough to show that we are kinda like mortal gods on our own. And Thordan was even kinda a special case in all those primals fights since he was empowered by dragon eyes, the prayers of many many years and the Warring Triad too. Heck even in the Encyclopedia its written that nobody knows how the WoL managed to do such a feast.
Nidhogg at the end should have been a solo feast too. We landed there directly on the back of his brother and Sohr kai was a solo trial for us (Aymeric and Alphinaud went throught theirs solo too) so we had no time to gather adventurers that are even willing to go against such an enemy. We had the help of a dragons eye but it must have been still quite a feast to kill him. He even commented on this when he was flying into the air as a ghost.
Also its interesting that if we did Alexander with other people this would have meant that they should have been at least near our level too, yet the only reason that Alexander went away was the WoL again. I know that this is a debate for eternity since the game itself sometimes tells about gathering other people but at least in quite some cases being alone is the only thing that makes sense. The scene after Bismark does not make sense if we have others with us, we definitely were going to Azys Lla only with scions so there could have been nobody else there.
I do not say that we are always alone but the really big bads of HW were done solo thus we should not really loose against one mortal like that. At least in the trailer it looks like we stand no chance against him since he does not even want to kill someone helpless like us. It just feels like an insult to the WoL after all that he/she did..so like I said, I really hope that there is a reason for it.