If you followed the different best practice guides you should be on a good and secure way: https://docs.paloaltonetworks.com/best-practices
Regarding your question, what exactly do ypu mean with creating an alert? Do you mean test-URLs and files that should be blocked in a "secure" configuration?
Here are at least some tests:
Antivirus Testfiles: https://www.eicar.org/?page_id=3950
Test URL in Category Malware: https://urlfiltering.paloaltonetworks.com/test-malware
Test URL in Category Phishing: https://urlfiltering.paloaltonetworks.com/test-phishing
Test URL in Category Adult: https://urlfiltering.paloaltonetworks.com/test-adult
Test URL in Category Command and Control: https://urlfiltering.paloaltonetworks.com/test-command-and-control
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