How do I modify the with wp_nav_menu()

Welcome to WPSO. You need to modify the Walker_Nav_Menu Class. That class is responsible for rendering the HTML menu output in first place. The theme you are using is calling the WordPress menu class, which will then output your menu.

As alexwc_ mentioned the alt attribute is for images, not for anchor tags.

So in order to maniputelate the menu output, you need to implement your own “walker”.

See:

Custom Nav Walker Tutorial

YouTube Video