This is less of a how to, and more of a “yes, it’s possible,” but the manual has a note section in the Supported Video & Audio Formats section that give a few options for outputting video to a format that supports an alpha channel.
Here is the list:
- FFmpeg video codec #1
- PNG
- Quicktime
- PNG TIFF Pixlet is not lossless, and may be only available on macOS
And here is a link to the manual page: