I doubt you'll find a radio than can monitor for weather alerts while scanning. In order to receive weather alerts and scan other channels at the same time, you need two receivers. For receiving weather alerts, a dedicated weather radio is really the best solution though it does mean carrying a second radio. There are some handheld models available.
I know my Yaesu vx-170 will do the weather alert while scanning. If I turn on the weather alert function the radio will automatically jump over and scan the weather frequencies every 10 sec. when in scan mode
Please note that the "Weather Alert" feature isn't like the programmable alerts available on most weather radios where you can select the ability to only get warnings for your county. The ham radios will simply check for the standard alert tone and pause on the weather channel so you can hear the message. This message may be any of the many that use the alert tone and for any county served by the weather station being checked and not something of interest to folks not in that specific area. As indicated, a dedicated weather radio is probably a better solution to most folks than attempting to have another type of radio attempt to do double duty.
Not sure if you're looking for mobile or handheld.
Both the Kenwood TH-K20A and Kenwood TM-281A will listen for the NOAA tone while scanning. -However- the radio has to switch over to the WX alert frequency every 3 seconds to listen for the tone, which means that while you're listening to a frequency, every 3 seconds there's a "pause" in the audio as the radio switches over to the WX frequency. Also, it cannot listen for the WX alert when transmitting. It also does not do SAME local alerts.
Both work for WX alerts, but no where near as good as an actual WX Alert Radio.