I am loading a user-selected page into an iframe using the src property. If the load fails, I would like to report the problem in terms that will make sense to the user. iframe
You could set your iframe and/or ajax request to always call a page you control (ie: loader.php), sending loader.php the user's requested page via get. From loader.php, use curl or even just file_get_contents to fetch the external page. If the request fails to come back to loader.php, you can check the error there, and return whatever you want your iframe to display.
While my example references the use of php, curl is supported in a variety of scripting languages. It is likely more complicated than other solutions you might have, but would give you access to the response headers as well for troubleshooting why a page load failed.