Preston held Watford to a 0-0 draw at Vicarage Road on Saturday, and Fernandez played all 90 minutes in his customary left wing-back role.
Diaby, who plays centre-back for the Lilywhites, has struck up a strong bond with Alvaro due to the pair both coming through the youth system in Spain.
“He’s a very special guy, he’s like my little bro,” Diaby said of the United loanee to The Lancashire Post.
“You have to take care of everything that he does but he’s a very nice guy. I’m always with him because it’s easier for us to understand because we are Spanish.