As you assume, it's not possible to pause whatever is playing in Zune, play a track/sound via the BackgroundAudioPlayer and then resume the previously playign track in Zune.
The BackgroundAudioPlayer uses the same media queue as the Zune player so when your track is played by the BAP whatever was previusly in the queue is removed. Even if it wasn't it's not possible to play (or trigger the playing of) a track from the MediaLibrary from the BAP.
Use of background audio seems completely the wrong option here. (Or do you have a reason you must use it?)
Why not play your notification sound over the top of any audio the user is already playing? (Using either a MediaElement or SoundEffect.) I'd assume this warning notification noise is just a short error beep so there shouldn't be any issue with this palyign over the top of any other music. You could combine your audio notification with use of the VibrateController to also help make it clear to the user that something is wrong.
Alternatively, as the notification is while your app is running, why not use a visual indication of the warning?