Bug not confirmed.
I loaded the save file and conquered Stockholm. Copenhagen then allied with me, but I get more food in each city:
Turn 152 (Before alliance w/Copenhagen)
Persepolis has +7 food, 21 food from terrain, 4 from buildings
Pasargadae has +3 food, 19 food from terrain, 2 from buildings
Susa has +5 food, 21 food from terrain
Next turn (now allied w/Copenhagen)
Persepolis has +9 food, 23 food from terrain, 4 from buildings
Pasargadae has +4 food, 20 food from terrain, 2 from buildings
Susa has +6 food, 22 food from terrain
So each city now has more food. Perhaps the confusion arises from the mouseover not showing that the extra food isn't derived from the alliance? I attached a save file from the next turn.