Well, it is hard to say if you should feed her more or not. Alfalfa hay is just fine for a cow at this stage of pregnancy. That is what ours are usually fed for the entire winter and they are fine with it.
Having said that, I don't know what quality your hay is, how much your cow weighs, or how much a bale of hay weighs either.
A general rule of thumb is to feed 2%-3% of the animals body weight in feed. You can feed on the lower end if it is really good quality and on the higher end if it is poorer quality, to a degree. It depends on how good, or poor quality your feed is, how cold your temperatures are, the colder it is the more they need to eat to keep them going, and if your feed is top quality you can fill with poorer quality feed. As RR said, a feed test would really help.