Hello Irinal
There is a health food store in the town of Alhama near to the church of St Lazaros, the street is pedestrianised and is the one that leads upto the museum of the thermal baths. The shop door is on a corner on the left hand side as you go up the street.
Every Tuesday in the town of Alhama there is a fantastic market selling fresh vegetables, fish, meat, everything. There is also an indoor market in Alhama with fresh food stalls.
There is a Mercadona supermarket in Alhama and Puerto Mazarron. Personally if I was living full time on CDA I would use the Tuesday market for my fresh food. Not sure how organic it is BUT the produce I have purchased from the market has been fresh and tasty!
Irene