I don't know about alarm, but you could put a switch in the electrical system that keeps the horn on all the time that only you know about, so if somebody starts it besides you the horn won't stop buzzing, you of course know where the switch is and can turn it off when you're riding.
Or you could tie a whole bunch of tin cans bells and other stuff to the moped, so if somebody makes a run with it everybody will look at them and wonder why there are so many cans tied to the moped, when your riding you just put them all into your saddle bag. OR, you could create some sort of lock, that locks the brakes so niether wheel moves making it impossibly to roll away, then weld a 75 pound weight to it so it too hard to carry.
Or you could just put a sticker on it that says "WARNING: alarm system" and put a battery powered blinking light above it, so it looks like it's armed.