As noted in another thread on the same topic, Gtk.open_dialog("...some prompt...") works, at the cost of pulling in a Gtk dependency.
Another possibility, as discussed in Pluto.jl#350, would be to wrap this library (or similar) in a JLL (binary package) and then write a Julia wrapper: https://github.com/mlabbe/nativefiledialog … or perhaps even to re-implement/port it to native Julia with ccall.