Short answer. No. Article 945 provides that once a payment period for a bequeathed pension has begun, that installment need not be returned even if the legatee dies before the period ends. So the last payment you received for the period underway when you die stays with your heirs.
What the law says
the legatee may petition the court for the first installment upon the death of the testator, and for the following ones which shall be due at the beginning of each period
Civil Code, Article 945 — Periodical Pensions. Read the full provision →
What the law says
such payment shall not be returned, even though the legatee should die before the expiration of the period which has commenced.
Civil Code, Article 945 — Periodical Pensions. Read the full provision →
How a periodical pension legacy works
Article 945 addresses legacies that take the form of a periodical pension, or a certain annual, monthly, or weekly amount. Rather than treating this kind of legacy as a single lump sum, the article breaks it into a series of installments tied to recurring time periods, which is exactly the structure your father's monthly pension follows. The article's opening words tie each payment to its own recurring period, and that timing is what ends up driving the answer to your question.
The right to petition for each installment
The legatee's right to those installments is spelled out directly: the legatee may petition the court for the first installment upon the death of the testator, and for the following ones which shall be due at the beginning of each period. So the first payment becomes claimable at the testator's death, and each subsequent payment becomes due right at the start of its own period — monthly, in your case — rather than needing the whole period to elapse first.
The no-return rule when death falls mid-period
The article then answers your exact question: such payment shall not be returned, even though the legatee should die before the expiration of the period which has commenced. Because the payment for a period becomes due at the beginning of that period, and is not required to be returned even if the legatee dies before that period is over, the installment already received for the period underway at your death is not something your heirs must give back.
What this means for your heirs
For your heirs, this means the pension payment covering the month you die is treated as fully theirs to keep, since it was already due at the start of that period under the article's rule. What does not necessarily continue is the pension itself going forward — the article addresses the installment already commenced, not whether the periodical pension keeps being paid to your heirs after your death.