How can I start Bluetooth tethering using the command line?
It doesn't look like there is a direct AppleScript dictionary for working with Bluetooth this way. 

You could use GUI scripting though, which basically uses the accessibility feature of the Mac OS to select menu items, etc. 

A great writeup on how to start with GUI AppleScript is available on MacOSAutomation.com. 

GUI automation can be difficult if you have a constantly changing list of things, but if you commonly have a list of bluetooth items connected that stays the same you should be ok.

You could then call this AppleScript through Alfred.