Alphabetical order doesn't affect the user experience of the game, but it might affect the readability or understanding of the sentence. The user may perceive some priority in that the earlier one might be interpreted as being preferable or easier than the other.
For example in "Mario and Luigi" or "Laurel and Hardy" or "Fred and Barney", the primary actor is mentioned first, despite the non alphabetical ordering. These still feel in a natural order. The alphabetic order is a poor sorting order when compared to the main character and their sidekick.
So in your case if for example "Coins" are the primary method of unlocking functions and "Bonus Points" are (as they suggest) a secondary 'bonus' method, then I would put coins first.
Alternatively, perhaps the ordering might be driven by the order in which the user has been introduced to them in the game - perhaps the user starts with some coins but no bonus points - like credits in a film are 'in order of appearance'. If that order is indeterminate then it's not so good of course.
In short, try and make the order meaningful to the user rather than by some system-chosen criteria that is external to the experience.
In addition, just as a side note, try to avoid ambiguity or false interpretation. For example:
- "Please add more bonus points and coins to continue" could possibly have been interpreted as needing 'bonus points' and 'bonus coins'.
- "Please add more coins and bonus points to continue" could be interpreted as needing both coins and points, so perhaps "Please add more coins or bonus points to continue" might be better - unless you do actually mean both.