Not probably from a website. Most likely some malware you've installed via iffy download dmg/installer/etc. "ask you" is a tip off, and seems like at least one other person has this problem. And per their screen shot, installed on their Mac.
In a list of software programs allowed to post notifications on my husbands iMac, at the top, is a program with a red shield and white X that send weird notifications on his desktop. Underneath the red shield, it says "Confirm that you are not a robot you need click Allow". What is this? How can ...
forums.malwarebytes.com
Even though you are running MalwareBytes, might have snuck through: kick off a full scan to see if catches it.