Unfortunately, The pythonaddins module—ArcMap | Documentation has not, and likely won't be, ported over to ArcGIS Pro. So, you are left looking to non-Esri/ArcGIS packages.
There are several options to present messages boxes, dialog boxes, etc... in Python: tkinter, ctypes, pywin32, and others. Normally I would suggest tkinter because it is cross-platform and the standard/default with Python, but Esri has done something under the hood to break standard tkinter syntax within ArcGIS Pro application. I like ctypes, but it is a bit more involved for people who aren't used to working with it, so I suggest pywin32:
import win32ui
import win32con
response = win32ui.MessageBox("Message", "Title", win32con.MB_YESNOCANCEL)