EMB-145 First Officer reported a terrain alert occurred while the aircraft was crossing a mountain range as vectored by ATC. The crew notified ATC and received vectors to the approach which was completed normally.

Narrative

We were operating ZZZ1-ZZZAfter Looking at the weather for ZZZ the winds were clearly favoring Runway X. We were cleared to ZZZ [VOR] via ZZZ1 [VOR]. We briefed and planned for Runway X and we were expecting the RNAV to Runway X especially since that approach has ZZZ1 [VOR] as a transition.When we got close enough and got the local ATIS; they were Broadcasting that they were using Runway YY. According to the Captain's crosswind calculator; we would land with a slight crosswind and a 4 knot tailwind. If we used runway six we would land with the same crosswind in the opposite direction and a four knot headwind. When the Captain questioned ZZZ approach about this; the Controller told him that they were using YY and that they had multiple departures and they could not offer Runway X. He did offer [Runway] ZZ as an option; but both me and my crew member opted not to take ZZ being that is a short runway and points directly at a mountain range and we were going in at night. So we accepted Runway YY.We were being vectored for the RNAV to YY into ZZZ. We were coming up the east side of the airport and were told to expect to be turned inside of ZZZZZ waypoint and expect the RNAV GPS for YY.This was a night flight and there was no light from a full moon or anything like that; conditions were good; visibility was unrestricted and there were no measurable ceilings.We were given a vector of 360 and maintain 4;000 feet. This vector would cross us over the mountains. Our altimeter setting 30.18. When we arrived at the gate; we verified that all three altimeters were set correctly and that they were set to the current altimeter setting that was being broadcast by the ATIS.As we were crossing the mountain range we received a terrain alert; 'terrain - terrain pull up.'I was flying and immediately put the power to the detent and pitched up 5-10 degrees and initiated a climb.The Captain immediately notified approach control of the terrain alert and the fact that we were climbing. He told us to maintain 5;000 feet and turn direct ZZZZZ. The captain asked for a parallel vector in the opposite direction to give us some space as we were basically over ZZZZZ and attempting to make a right turn and go directly to ZZZZZ would be simply flying in circles. The Controller gave us a parallel vector in the opposite direction of the inbound course; and then told us to go direct to ZZZZZ when able. He seemed rather annoyed and short with us.At this point the Captain started to get annoyed with the Controller because the Controller gave the distinct impression that he just wanted to hand us off and be done working our flight. The Captain notified him again about the terrain alert and that they may want to consider using a higher altitude in the future. He made mention that they do it all the time and I think he said something about our equipment and that the next Controller would talk to us about it. Again; he seemed annoyed.At this point I was established on the approach. The Captain told the Controller that we were established on the RNAV GPS YY; he cleared us for the approach and handed us off to the Tower Controller. We flew the rest of the approach without incident. We landed under normal conditions.We taxied in and everything was completely normal. We parked at the gate and nothing was said. The Captain waited until we completed the Parking Checklist and the aircraft was stable. He then contacted the tower and asked them if they were notified about the terrain alert. He told me that he got the impression that if he hadn't called them; they wouldn't have attempted to contact him.Based off of the actions and instructions of ZZZ approach control it seems that they do not understand or appreciate the risks that aircraft take flying around the high terrain in and out of their airfield. ZZZ controllers should put more effort into helping aircraft safely operate in and out of ZZZ airport. Especially at night and in poorweather.