Air carrier First Officer reported receiving a Low Altitude Alert from Tower when they descended below a waypoint on an RNAV Approach

Narrative

The flight was on the RNAV (GPS) Rwy XX approach into ZZZ. Inside of the ZZZZZ fix approaching the ZZZZZ1 fix; Tower notified us 'Aircraft X Altitude alert; check altimeter setting'. The Captain quickly asked to check our altitude. I looked at our altitude and checked the approach plate. The aircraft was between 1;000 and 1;100 feet. The ZZZZZ1 waypoint on the approach plate states 'Check Altitude ZZZZZ1 XXXX'. We were below the specified altitude. The Captain disengaged the autopilot and manually corrected the flight path to correct the situation. The Captain was able to regain the vertical path and land on Rwy XX without further incident. Prior to this point; ZZZ Approach cleared the flight direct to ZZZZZ2; cross ZZZZZ2 at or above 3;000'; and cleared for the RNAV Rwy XX approach. When cleared for the approach; we set 2;200' for the ZZZZZ waypoint. Autopilot was engaged and we were descending in Flight Level Change vertical mode. Inside of ZZZZZ2; I set the TDZE (Touchdown Zone Elevation) for the approach. I failed to conduct my arrival check procedure at ZZZZZ2. I did not notice that the plane was not in VNAV. The aircraft made the 3;000' crossing at ZZZZZ2. I do not recall where the aircraft crossed the ZZZZZ waypoint. Prior to ZZZZZ1 is when Tower notified the flight of the altitude alert.