How to use a Polyswitch Self Resetting Fuse and light up led when fuse has been disconnected
I would consider putting a PNP transistor accross the polyfuse such that current flows thru the base when there is more than one junction drop accross the fuse.  In normal operation the drop accross the polyfuse shouldn't be that high.  You can put a large enough resistor in series with the base such that the leakage thru the device is small enough not to matter.  After all, a polyfuse will have considerable leakage on its own, so leakage really isn't the issue.

Connect the emitter of the PNP to the power side of the polyfuse.  The base goes to the device side with 10K Ohms in series.  The collector will now source some current when the fuse is open and a device is trying to draw current.  You could drive a LED and resistor directly from the collector if you only want a few mA.  You could also use a additional NPN transistor to amplify the current and drive a LED with a higher current.