I would say no in the post itself, as it's just noise and doesn't really add anything to the question especially in the form that it's in.
If OP really wants to challenge a close vote (especially a pending one), they should edit their question to explain why it's not a duplicate. This should also be done within the context of the question, not as an afterthought. That's what annotations are for, and there's a good reason why that's restricted to mods.
Of course, this just applies to OP editing the question. If another user edits the question, things get a bit hairier. In short, we can't guarantee that another user knows exactly what OP wants. In fact, there's even a suggested edit rejection reason for this exact case:
clearly conflicts with author's intent
This edit deviates from the original intent of the post. Even edits that must make drastic changes should strive to preserve the goals of the post's owner.
Maybe OP is okay with an "overkill" solution. Maybe OP isn't. The point is, we don't know what OP wants beyond what they've said in their question. As such, the burden of making a question more or less specific usually falls on to OP. I feel that if a user wants to challenge an ongoing review, they can do one of a few things:
- Add a comment explaining why instead of effectively vandalizing the post.
- Post in chat/meta for feedback from the community as a whole.
- Just wait for the question be closed, and then open a discussion in Meta.
But, to sum it up, challenging a closure should never be done as an aside within the question itself. It should either be embedded reasonably into the question (by explaining why it's not a duplicate, something OP and only OP can do) or done in the comments or chat or meta (which can be done by anyone).
Really, though, the more I think about this, we have an X/Y problem here. People feel the need to edit the question to add a note to closevoters such as to prevent robo-reviewing. The actual solution to this is to prevent robo-reviews from being done and/or encourage reviewers to actually do their job and review the question instead of just blindly clicking buttons.