Nope. Back channel exploits aside, the modem has no official control over the high-level OS. All that the modem does is to pass this particular broadcast SMS to the OS along with the “this is an alert message” flag.
You can disable this on any reasonably friendly OS. On my phone (Samsung Galaxy S5, running LineageOS 7.1.2), you can go to Settings → (wireless and networks) More → Emergency Broadcasts and switch everything off (including region-specific settings for alerts in Brazil and India).
It looks like this:
