From the dictionary:

alone ə-ˈlōn: without anyone or anything else, not involving or including anyone or anything else, separate from other people or things

lonely ˈlōn-lē: sad from being apart from other people, causing sad feelings that come from being apart from other people

TRP translation:

alone: Understanding the circumstances to which a person is left to themselves, to work on themselves, and to become better for nobody but themselves

lonely: Frustrated at the circumstances that led to them being lonely. Sad because society has lulled them into a false sense of security and love. Depressed because porn and videogames are empty pleasures. Sad because the height of their success is dependent on other peoples' worthless validation of it.

Even though they are both adjectives and to most mean the same thing, they are very different.

Being alone is a mindset while being lonely is a feeling.

When you are alone you can improve, when you are lonely you have to cope.

It's better to be comfortable alone than sad and lonely, especially for building a strong frame.