His nicknames are El Pulpo ("The Octopus"), and Six-Fingers. He has six fingers on each hand and six toes on each foot, a condition known as polydactyly. His grandfather also had this trait. Alfonseca regards it with pride, as a kind of family emblem. The extra finger has no influence on his pitching, as it does not touch the ball.
I found the photo of Alfonseca's hand on this page, which discusses the top 30 nicknames in professional sports.