Had the same problem with new male characters.
But could "fix" it that way:
when Alduin is flying and flying and flying around, simply turn off your console (not only skyrim) and then turn it on again and reload the last AUTOsave (which is created after you created your new character and named it, just before Hadvar goes to the executinoeer)
Make sure, AUTOsaves are allowed in your option settings!
Hope i could help a little.
