I don't know about Pascal, but if you google for "X11 messagebox" you'll find some examples in C/C++; they might give you some ideas.
Note, though, that "X11" by itself refers only to the base libraries and protocols needed to implement a client/server windows library (kind of like the base abstract classes in LCL); you'll need a Window Manager to be able to use them. The most basic one, and IIRC the one included in the base "X11", is Motif, but it might not be installed by default in most distros nowadays.
ETA: Note also that the same is true (more or less) for Windows too; only all Windows come with their own "Window Manager" included in such a way that it seems part and parcel of the system, though it's not really so.