I remember also reading about how Alekhine got into some scandal with Euwe involving theft of one of these opening notebooks. Is there any validity to this?

I have read a lot of books. I have to imagine so have some of the other older players on this site.
I have read that from Dr. Reuben Fine's Chess Psychology, that Alekhine would screw his pieces into the board, or circle his opponent when they were making a move. I have never read that Alekhine stole any notebooks.
In conjunction, Reinfeld wrote a small book on Smyslov and Keres on how they prepared, and went back to the drawing board when playing against certain players. Particularly against Unzicker. Keres appears to have prepared for his games against Reshevsky. Fischer borrowed Russian (Soviet) Chess magazines from Tal or Bronstein. And used a line in one of the publications against Reshevsky (in a famous game).
For the English players here, Barden the Opening Specialist kept his notes on index cards.
The books available on the Alekhine-Euwe Match
Botvinnik The Return Match 1937. Alekhine wrote a book on the first match.
Later publications:
S. Purdy and Ralph J. Tykodi Extreme Chess
Kings of Chess by W. Winter 1966
The Return Match 1937 By Purdy 1938
From the comment above, maybe a note from Winter, Purdy, or Wall.
Definitely not from Fine. I read all of his books. Or Reinfeld.

It might have been Euwe who did something with it. I'm not too sure, but I remember reading it in Kasparov's My Great Predecessor's (vol 2 I believe.)

Have you heard about how he would take cats to the World Championship matches? This was also in Kasparov's My Great Predecessors (vol 1 or 2). There is also some information here: Only Chess - Play chess game online!

Euwe involved in something unsportsmanlike? Hard to imagine...