You can use yay -Y --sudoflags "-B" --save for a terminal bell to ring every time sudo prompts. If you want a more custom way of sending a notification or some other notifier, you can write a wrapper around sudo and use that as the sudobin config option.

Hey @Karmenzind, does my above comment answer your question?

Sorry forgot to give feedback. Thanks for your advice. I think the terminal bell might be helpful in common cases (though not to me).

As for the wrapper, I wrote a script and put it in /etc/pam.d/sudo but not working.
Seems that the exit code is returned by notify-send. I tried adding DBUS session variable and still no luck. I was busy then so I gave up. 😢

Oh I fixed the wrapper just now:

~ % cat /etc/pam.d/sudo
#%PAM-1.0
auth            optional pam_exec.so /usr/local/bin/sudo_notify.sh
auth            include         system-auth
account         include         system-auth
session         include         system-auth

~ % cat /usr/local/bin/sudo_notify.sh
#!/usr/bin/env bash

export DISPLAY=:0
eval $(dbus-launch --sh-syntax)
export DBUS_SESSION_BUS_ADDRESS=unix:path=/run/user/1000/bus
# if ! [[ -f $DBUS_SESSION_BUS_ADDRESS ]]; then
#     export DBUS_SESSION_BUS_ADDRESS=$(grep -z DBUS_SESSION_BUS_ADDRESS /proc/$(pgrep -u $LOGNAME i3)/environ | cut -d= -f2-)
# fi

notify-send "Sudo Alert" "Please enter your password to proceed."