These days, Tehran's air pollution is at a risk level.
What are different levels of the seriousness of something? For example can we say "warning level"?
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The term you might be looking for is Air Quality Index, given as a number and a description for the health risks associated with them. Different countries have their own index. What you say will depend on which index you find useful as regards Iran. Some might be: health risk level, high risk level, etc.
You can check out the numbers and the lingo used for the AQIs and the linguistic descriptions of them here: https://en.wikipedia.org/wiki/Air_quality_index
Generally speaking, an index has levels. So, you can say: health risk level, health threat level, etc. Usually, the word health is used in association with some other term.