Hi Bob,
It is possible you could do a java action to make this web service call, but I think you can leverage the activity you are already using. Why not use some custom without rollback error handling behavior on that java action? In your error handling flow you could create a log message or pop up a screen to a user letting them know that the URL doesn't exist.
Some info on error handlers can be found here:
https://docs.mendix.com/howto50/error-handling
Best,
Rob