I don't see a way to get the warning using the menus.
You could convert a range into a list using a macro and then you could inspect
that range for merged cells first.
Option Explicit
Sub testme()
Dim wks As Worksheet
Dim resp As Long
Dim myListObj As ListObject
Dim Rng As Range
Set wks = ActiveSheet
Set Rng = Selection
With wks
If Rng.MergeCells = True _
Or IsNull(Rng.MergeCells) Then
resp = MsgBox(prompt:="Selection has merged cells. Continue?", _
Buttons:=vbYesNo)
If resp = vbNo Then
Exit Sub
Else
Rng.UnMerge
End If
End If
Set myListObj = .ListObjects.Add _
(SourceType:=xlSrcRange, _
Source:=Rng)
myListObj.Name = "List_" & Rng.Address(0, 0)
End With
End Sub
Or just pop up that dialog after a warning message:
Option Explicit
Sub testme2()
Dim wks As Worksheet
Dim resp As Long
Dim Rng As Range
Set wks = ActiveSheet
Set Rng = Selection
With wks
If Rng.MergeCells = True _
Or IsNull(Rng.MergeCells) Then
resp = MsgBox(prompt:="Selection has merged cells. Continue?", _
Buttons:=vbYesNo)
If resp = vbNo Then
Exit Sub
End If
End If
Application.Dialogs(xlDialogCreateList).Show
End With
End Sub