Yes, Alex was pregnant. This story takes place just after she gave birth. In season three the actress who portrays Alex Eames, Kathryn Erbe, was pregnant with her second child. Instead of hiding it on the show, the writers decided that Alex was the surrogate mother for her sister-in-law. (Or possibly just her sister, I can never remember which.)
Alex doesn't want her family to know how painful it was to give up the child she had been carrying for nine months. Now they have a child—thanks to her—and, though she is happy for them, she is also jealous. She feels that Bobby is probably the only person who she can talk to about this. He is not part of her family and therefore isn't fixated on the new nephew/grandson/son/etc. He is focused on her.
It's not that she doesn't like her family, she just doesn't want them to focus on her.