Here's example:
class MyCoolFlash extends Phalcon\Flash implements Phalcon\FlashInterface
{
    /**
     * Contains all nonouputed messages
     */
    private $messages = "";
    //override constructor
    public function __construct($cssClasses)
    {
        parent::__construct($cssClasses);
        parent::setImplicitFlush(false); // don't output when parent::outputMessage() called
        parent::setAutomaticHtml(true); // enable html because of disabled by default
    }
    public function error($message)
    {
        $this->messages .= parent::error($message);
    }
    // and other types ...
    public function output()
    {
        return $this->messages;
    }
    $di['flash'] = function() {
        $flash = new MyCoolFlash ([
            'error'   => 'alert-direct error',
            'notice'  => 'alert-direct notice',
            'success' => 'alert-direct success',
            'warning' => 'alert-direct warning',
        ]);
        return $flash;
    };