Let $\xi_1,\xi_2 \sim \mathcal{N}(0,1)$. Then $X = \alpha + \xi_1 \sqrt{\beta}$ and $Y = \mu X + \xi_2 X$ $ = \mu \alpha + \mu \xi_1  \sqrt{\beta} + \xi_2 \alpha + \xi_1 \xi_2  \sqrt{\beta}$.
Hence $E(Y) = \mu \alpha$