The use of neat reaction media, that is the avoidance of additional solvents, is the simplest and the most efficient approach to follow in biocatalysis. Here, we show that unspecific peroxygenase from Agrocybe aegerita (AaeUPO) can hydroxylate the neat model substrate cyclohexane. H₂O₂ was photocatalytically generated in situ by nitrogen-doped carbon nanodots (N−CNDs) and UV LED illumination. AaeUPO entrapment in alginate beads increased enzyme stability and facilitated the reaction in neat cyclohexane. N−CNDs absorption in beads containing AaeUPO created a 2-in-1 heterogeneous photobiocatalyst that was active for up to seven days under reaction conditions and produced cyclohexanol, 2.5 mM. To increase productivity, the bead size and the photocatalyst-to-enzyme ratio have been identified as promising targets for optimisation.