I use the Pet Journal Enhanced Addon for this, wich allows the List of Pets to be reduced to the pets that can be obtained in the zone. No warning or popup massage though, you have to check for yourself.
I use BattlepetCount and Battle Pet - Quality Notifier. The first tells you what you have, how many, and what quality and the second tells you in chat the rarity of the pets your battling. They are both on Curse and I'm not sure how I hunted pets without them!