B737 flight crew reported Low Altitude Alert by ATC on approach.

Narrative

I observed the CA setup RNV XX R as advertised in the atis. We briefed threats as being a potential runway change; being vectored off and back the RNAV approach; and coming in after a long flight. The CA briefed and asked if I had any questions or comments. I asked if he planned to treat it as an RNAV approach since I noticed he did not turn off nav updates or change the RNP value. He stated that since it is a visual approach we should be fine. We got an early descent on the ZZZZZ arrival to FL320 from FL340 and I noticed the CA used LVL CHG to descend rather than using ALT INTV. After we leveled; I offered to recruise the FMC to FL320 to put us back VNAV PATH and the CA agreed. We were cleared to descend via and slowed to 250 kts then published speeds at ZZZZZ1. Then; ZZZ slowed us to 230 kts and cleared us the ZZZZZ2 course only after ZZZZZ3.The CA then called for flaps 1. After crossing ZZZZZ3; we were given step downs. The CA used LVL CHG to descend to both altitudes. ATC then slowed us to 210 kts then 180 kts until ZZZZZ4 once CA had landmarks; aircraft on XX L; and the runway in sight. The CA asked me to set 100 ft for TDZE. We continued to slow to 180 until ZZZZZ4. ZZZ had us check in with tower and we were notified to continue and that traffic was in position. We configured to flaps 5 and 10 then gear down flaps 15 as appropriate. As we approached ZZZZZ4; CA called for flaps 25; then flaps 30 landing checklist. At that point; I remember the aircraft making the 1000 foot call; then; as I reached to place the start switches to continous; ATC stated 'Aircraft X; low altitude alert; check your altitude immediately; altimeter 29.87;' I replied 'Aircraft X; roger' and immediately looked up and noticed our RA altitude around 800 feet and descending; and 4 red lights on the PAPI. I observed the CA discinnect the auto pilot and auto throttles and attempt to arrest the descent. As we passed through 650 feet RA; i called for a go around. We were instructed to climb runway heading to 3000 ; then given a left turn to 260. On downwind; ATC told us to expect visual XX L. On final; I asked ATC for a landing clearance around 600 feet and was told an aircraft was still in position. We were then instructed to go around and came back to land on XX L uneventfully.