an UNO does not have much memory nor is it fast to play audio at good quality so it will be hard to have a voice message being played out
The GSM module you use does have an onboard headphone socket, so if you pick a module with MP3 and SD card support and build a jack output cable (or buy a module with a line out jack) and then you would need to trigger the call, wait for the pickup, launch the message as an MP3, wait for the duration of playing the file and then hang up.
==> seems a lot of work - Why do you want this to be a call? why don't you just send an SMS?
(Also you should add a very loud siren and flashing red lights - that's usually effective for wannabe burglars)
Stickers on the door/window, fake camera with blinking red LEDs will also be deterrent
Now if that were my shop, I would buy proper equipment, working on battery if power is cut etc... You can find some on eBay (whatever they are worth) for $50 probably with multiple sensors, code management etc.. (look for 'Wireless Lcd Gsm Autodial Sms Home House Office Security Burglar Intruder Alarm' or something like that)