Hello ,
Thanks for choosing the Apple Support Communities. If your alarms aren't playing on your AirPods Pro, try following the steps found here.
How to set and change alarms on your iPhone - Apple Support
"If you have an alarm that doesn't sound or is too quiet, or if your iPhone only vibrates, check the following:
- Set the volume on your iPhone. If your alarm volume is too low or too loud, press the volume button up or down to adjust it. You can also go to Settings > Sounds & Haptics and drag the slider under Ringer and Alerts.
- If your alarm only vibrates, make sure that your alarm sound isn't set to None. Open the Clock app, tap the Alarm tab, then tap Edit. Tap the alarm, then tap Sound and choose a Sound.
- If you connect headphones to your iPhone, the alarm plays at a set volume through the built-in speakers on your iPhone as well as wired and wireless headphones."
Another thing you can try, is pairing to another iOS or iPadOS device and test to see if the same thing happens on there. If it doesn't, that would help us isolate the issue between the AirPods and the device itself.
Cheers!