Honestly I don’t know if you can configure different redirection in this case but what I believe would be possible:
if you take a look on $TOMCAT_HOME/webapps/identityiq/ui/loginInclude.xhtml file - this is the page which is displayed after not successfull try of SAML authentication (when no identity is returned).
You can see some of blocks are conditional - so I would try to create conditional block that will display in this case. (for example based on some session variable you can set during SSO Correlation rule execution).
I can try to build something after Developer Days 