Not sure about this, but I though it was worth giving a shot.
Some people think I'm an alien,
not because my father murdered his brother,
My theory may fall over here. Anubis was the "biological" son of Nephthys and Osiris, but Nephthys was actually Seth's wife and the 3 of them were brothers (sick, I know) and Seth killed Osiris. So (if this wasn't twisted enough) Anubis' step father killed his brother (Osiris).
some made many sacrifices for me,
back in those days people sacrificed about anything for any god in any mythology
and my mother is very protective,
His mother was Nephthys the protective goddess of the dead
I never had kids, I was always to busy with work,
Well, he didn't have kids and had a full time job. Actually 3 of them. "Anubis had three important functions. He supervised the embalming of bodies. He received the mummy into the tomb and performed the Opening of the Mouth ceremony and then conducted the soul in the Field of Celestial Offerings. Most importantly though, Anubis monitored the Scales of Truth to protect the dead from deception and eternal death."
I'm a legendary story,
He is a character in the Egyptian Mythology
If you come to me, I will test you.
as stated above he monitored the "Scales of Truth": The scale of truth in Egyptian mythology found the balance between the deceased human's heart and the feather of truth. If the feather was heavier, they went on to the next test and/or stage of their passage. If the heart was heavier, it would be eaten by a monster at the base of the scale, and the soul of the person would wander aimlessly forever
People made statue(s) of me.
there are a lot of Anubis statues in Egypt.
Correct answer here is: Jackal, Anibus his animal sign is Jackal. (added by OP).
Some people think my whole family were aliens.
Same as the answer for the first line.