Hi Roman,
1) Are you reconfiguring the PLL, or using a different FPGA programming file when switching between these two reference clock frequencies? For example, an I/O PLL which is configured to accept a 125MHz input clock is expected to lock to that frequency but if the I/O PLL is configured to accept a 125MHz clock, it may not be able to lock to 250MHz. Each PLL configuration is tuned for a specific input clock frequency, which has some range above and below that frequency. But a large difference could be outside of that range. Here is a KDB article which was wrote a very long time ago which suggests using clock switchover to see if the PLL can be legally configured to accept two different clock frequencies. Note this was written for the ALTPLL IP in older families, so it will be a little different for I/O PLLs in Arria 10, and I don’t think Quartus reports the lock range of the PLLs in the fitter report for newer families. https://www.intel.com/content/www/us/en/support/programmable/articles/000073701.html
2) You said this clock source is on a transceiver REFCLK pin, not a dedicated clock pin in the GPIO? If it’s a transceiver REFCLK, then it’s not the best source for an I/O PLL clock, it may be picking up additional jitter on a global network which is likely required to drive the I/O PLL from that remote source. Perhaps at 250MHz the clock source has higher jitter than at 125MHz, or the I/O PLL is more sensitive to jitter at that frequency.