When wiring two circuits through the same conduit, what wire coloring is required?
As far as code goes, I think you're okay with your approaches since you've tagged hots appropriately. 

Personally, I think mixing cable with individual wires is sloppy. I'm going to assume that 12 AWG is the correct size for the pump, but you should check before actually putting in 12 AWG. I would do one of two things: 

Run using NM cable:


A 12/2 wire for the 240V pump circuit: either black/red, or black/white tagged as hot 
A 14/2 wire for the 120V alarm circuit
Ground in both cables is connected


Or run individual wires:


2 12AWG's (black/red) for the pump circuit 
1 12AWG or 10AWG ground (bare, or green)
1 14AWG white neutral (alarm circuit)
1 14AWG other color (blue is often the 4th color used) hot for the alarm circuit


NM wire is usually easier to find, and you may even have some already (if not, having spare 14/2 available is never bad). For individual wires you often have to buy a spool of each color which makes going that way for one project more expensive, though you may be able to buy by-the-foot.

In either scenario, labelling everything at both ends is important.