To native English-speaking people, it may seem like "more bald", but that's not at all how it's pronounced. The "a" is a sound that I have not yet found in the English language, and the closest I can come to an explanation (if you have seen Avatar), is the "a" in "Na'vi". That form of "light a" (instead of the "darker a" of "bald"), and then, BALD-er.
The original name of Balder in Norse Mythology was Baldr. Also, the name is derived from Old Norse "baldr" (lord, prince) - think of Anglo-Saxon "bealdor"). It is related to Old Norse #ballr# "bold, brave" (see Baldric).