Firstly you seem to be powering the INA125 from 3V - why? That really limits its output range. Use 5V.
Also you will need to lower the gain somewhat - if the range you get is 0..500g, and you want 0..2000g then you'll have to increase Rg by a factor of 4. But if you power the INA from 5V you'll get more output range anyway, so try that first.
You mention you are using the built in 2.5V reference, but that's not what the circuit diagram says - is that diagram exactly what you have?
What is the no-load output voltage? You want the output to range across as much of the supply range as possible, if the bridge isn't balanced there are various schemes to balance it out.