Hey friend,
this is out of Phalcon's scope as it handles only your backend. However I can give you two solutions:
1) Use onClick attribute for the link:
{{ link_to(['for': 'your-route-name'], 'Delete Me', 'onClick': 'return confirm("Are you sure?");') }}
2) Or you could add a class to those links and do the rest with javascript:
{{ link_to(['for': 'your-route-name'], 'Delete Me', 'class': 'js-confirm-delete) }}
$('.js-confirm-delete').on('click', function(){
// Here I have custom code which calls Twitter bootstrap modal
});
I'm using option 2 and it looks something like this. But it is all up to you: