We propose the concept of Riemann diamond-alpha integrals for time scales interval-valued functions. We first give the definition and some properties of the interval Riemann diamond-alpha integral that are naturally investigated as an extension of interval Riemann nabla and delta integrals. With the help of the interval Riemann diamond-alpha integral, we present interval variants of Jensen inequalities for convex and concave interval-valued functions on an arbitrary time scale. Moreover, diamond alpha Hölder's and Minkowski's interval inequalities are proved. Also, several numerical examples are provided in order to illustrate our main results.