I've studied a lot of Silent Hill after so many from the series joined, but I still am fairly certain I know much, much less than you do. xD And that's good and how it should be - I have the feeling that Alessa really is from Silent Hill, and that she knows everything she should know.
Like Syd-player says, I find that she does have a lot of depth. She really shines as a person all on her own, outside of Silent Hill, though because of her experiences there I still see that her stuff is rooted in her experiences - as it should be.
As for something that's more constructive to say...hmm...*thinks*... I'd like to see Alessa get closer to an unlikely person or two, which might sound odd. You do not have to do this, but if I recall correctly Alessa seems to have only bonded with people who are quiet and reserved like she is, or are detrimental to her (Brandy/Sal). This is all well and good, and certainly makes sense from the way it's been done. You've written things excellently. But I almost hope that Alessa will bond with someone who is a little less likely but a little more healthy for her - not necessarily someone she'd be comfortable with all the time, but who'd force her - and vice versa - to grow a little together through their interaction.
It's a thought, but you're doing very well as it is. I really enjoy seeing what Alessa says and does. I wish I could think of a better thing to note to improve upon, and maybe I'll think of something later, but I really think you write Alessa wonderfully well.