I'm sure there is a way to connect the alarm someplace on the furnace
indicating it's in lockout. On some of the gas boilers with electronic
ignition, there are terminals on the module that normally close or open
in case of lockout, or send some kind of voltage to those terminals if
you want to connect a signaling device such as a light or buzzer.
I have a 2 year old Trane XR80 furnace. I'm not sure if there are
terminals on the circuit board to connect an alarm, but it's a very
good idea you have. I have to look at the schematic.