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If they did it themselves, it wouldn't necessarily have to be Bruce and Alf alone. Depending on the universe, Batman has a number of allies who know his identity, including various sidekicks (and BTW, he has a lot of sidekicks, lol), Lucius Fox, Leslie Thompkins, sometimes Gordon, and sometimes Catwoman, and probably a whole lot of one-off characters. Then there's also his connections through the Justice League. I mean, Superman could have set up the Batcave in like a second.
But even without help, I kind of don't doubt that Batman could have done all of it himself. The dude can lift like a thousand pounds and could always just rent (or buy, or even borrow from WayneTech) whatever kind of machinery he needed. WayneTech probably even has electric prototypes for some of this stuff (I mean, they definitely would if the story required it) so he wouldn't even have to worry about ventilation.
Then there's the possibility that he gets help without revealing his identity. He's been known to do this kind of thing before, where he will clearly use Wayne manor, or Wayne money, or etc, and when somebody asks he just says Bruce Wayne is an ally of his and leaves it at that. Which, honestly, is a pretty flimsy alibi, but I mean, some of this stuff goes back to eras where comic books were way goofier than they even are today.
Since you mention the TDK trilogy, in that universe they actually reveal that Wayne manor was a stop on the underground railroad, and some stuff, like the elevator, was already there before Bruce was even born. That's a pretty reasonable explanation (sans the whole 19th century elevator thing), since it means there were potentially a lot of allies who would want to help and also want to keep it under wraps, and would be long dead now anyway.
Now, specifically in the Telltale version, he doesn't have any of these kinds of allies at the start, though he does have the Batcave already set up. In that case, I would imagine he would have to do it himself--I guess with some machinery. He doesn't seem to mind playing Bruce and Batman closely related, so I suppose he could have also hired help as Batman.
Overall, though, it's one of those things where, I mean, he's Batman. Working out something this mundane is to be written off as a triviality for the guy, even if the details don't quite hold up to scrutiny. It doesn't matter how difficult the task is; it's too much like the kind of stuff that happens in the real world to really warrant an explanation. Kind of like building a deck on the back of your house or something.