begin
INSERT INTO k.migr (i_key, i_key_id, i_key_val) 
        SELECT i_key,
            case 
                when i_obj_key='IK' then '88' 
                when i_obj_key='SNM' then '5503' 
                when i_obj_key='SWI' then '73' 
                else -- Here i need to write some sort of error message... how?
            end case,
            i_key_val from k.migr_ld;
end;

SQL> create table t (val integer);

Table created.

SQL> begin
  2    insert into t (val) select val from t;
  3  end;
  4  /

PL/SQL procedure successfully completed.

SQL> create table t (val integer);

Table created.

SQL> begin
  2    insert into t (val) select 1/0 from dual;
  3  end;
  4  /
begin
*
ERROR at line 1:
ORA-01476: divisor is equal to zero
ORA-06512: at line 2

SQL> create or replace function f (msg in varchar2) return varchar2 is
  2  begin
  3    raise_application_error (-20000, msg);
  4    return msg;
  5  end;
  6  /

Function created.

SQL> begin 
  2    insert into t select f('my message') from dual;
  3  end;
  4  /
begin
*
ERROR at line 1:
ORA-20000: my message
ORA-06512: at "MICHEL.F", line 3
ORA-06512: at line 2