Linkify is a great class, it hunts for complex patterns like URLs, phone numbers, etc and turns them into URLSpans. Rather than re-write the existing regular expressions I extended the URLSpan class and created a method to upgrade only the telephone URLSpans to a custom URLSpan with a confirmation dialog.
First my extended URLSpan class, ConfirmSpan:
class ConfirmSpan extends URLSpan {
    AlertDialog dialog;
    View mView;
    public ConfirmSpan(URLSpan span) {
        super(span.getURL());
    }
    @Override
    public void onClick(View widget) {
        mView = widget;
        if(dialog == null) {
            AlertDialog.Builder mBuilder = new AlertDialog.Builder(widget.getContext());
            mBuilder.setMessage("Do you want to call: " + getURL().substring(4) + "?");
            mBuilder.setNegativeButton("No", new DialogInterface.OnClickListener() {
                public void onClick(DialogInterface dialog, int id) {
                    dialog.cancel();
                }
            })
            .setPositiveButton("Yes", new DialogInterface.OnClickListener() {
                public void onClick(DialogInterface dialog, int id) {
                    openURL();
                }
            });
            dialog = mBuilder.create();
        }
        dialog.show();
    }
    public void openURL() {
        super.onClick(mView);
    }
}
Next the method to swap out the different span classes:
private void swapSpans(TextView textView) {
    Spannable spannable = (Spannable) textView.getText();
    URLSpan[] spans = textView.getUrls();
    for(URLSpan span : spans) {
        if(span.getURL().toString().startsWith("tel:")) {
            spannable.setSpan(new ConfirmSpan(span), spannable.getSpanStart(span), spannable.getSpanEnd(span), Spannable.SPAN_EXCLUSIVE_EXCLUSIVE);
            spannable.removeSpan(span);
        }
    }
}
Finally all you need to do is create a TextView with the autoLink attribute:
android:autoLink="phone"
And remember to call the swapSpans() method. Understand that I wrote this for fun, there may be other methods of doing this but I am unaware of them at the moment. Hope this helps!