The default behavior of iOS PDF reader is for hyperlinks is to open them directly in Mobile Safari.
Is there a way to intercept this call to show a warning message to the user letting them know that by clicking the link they will be taken out of the application and the browser will launch?
This logic, and anything nearly everything else involved with the user interface, is contained in the tools source code that is provided in the SDK download. The tools code is meant for users to customize the look and feel of the reader application.
For this particular case, you would look in the makeNewAnnotationSelection function in AnnotEditTool.m file in the Tools project.