Not quite, as far as I know, you pretty much should: 1) write your own using graphic primitives or 2) write a special OS code for each target platform to open a dialog box.
For the first option, you did not mention whether you use SDL for 2D graphics or OpenGL? If you use OpenGL, I believe that there are accessible GUI libraries that use OpenGL primitives to create GUI elements, I would try to find the โOpenGL GUIโ. If you look at how to render fonts with SDL_ttf and get them, you can write text responses to the display using this.
The second option requires you to explore how to open a message box on each platform that you want to target, and use #ifdefs to control which one is used. For example, if you want to target windows, OS X, and Linux, you will need to write 3 dialog box functions using api, Cocoa, and X11 windows.
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