Air carrier Captain reported ATC issued a terrain alert while on an RNAV Approach.

Narrative

When on approach RNAV (GPS) M 32 into [MFR] ATC issued a 'low altitude alert; check altimeter XX.XX' We were cleared for the approach from ACLOB and configured early and were stabilized as [MFR] is a safety alert airport for our flying. Our altimeter was set for the altimeter setting that was in the ATIS as well. When advised in the alert of the altimeter setting; we were 00.01 off from the most current. The approach was temp comped for the current temperature at the time that was published on the ATIS. We advised approach control when starting the approach that we were temp comped. Descending on the M around the fix of FILPU ATC issued a low altitude alert. At this time the aircraft was what we considered stabilized on the LNAV/VNAV path; gear down; and flap 3. Conditions were calm and visual. No aircraft EGPWS warnings were given. Upon being issued the clearance we assessed the state of the aircraft and the surrounding area and continued the approach as we saw the glideslope coming in and were on path. The landing was made safely and no further events came from the ATC alert. The cause of the event is ATC issues a terrain alert. It could be that due to the warmer temperatures the temp compensation wasn't aligned properly with the glideslope when coming down over the mountains. It was my first time into this airport and mountainous terrain so I was trusting the aircrafts systems and approach on bringing us down safely to minimize threats. In the future it would be beneficial to continue to cross check our path on the way down to monitor the aircraft's state. Both pilots had a terrain map up as well that we were monitoring.