and I have been able to create the message box, but when this box appears the loop stops and it doesn't continue untill the user clicks de OK button. Is there a way to show a message box without stopping the script?

Yes. You can do by changing Timer to 0.15 instead of 15.0

Snippet(re-modified)

import random
import ctypes
import threading

# Global variable to hold the state
estado = ""

def contador():
    global estado  # Declare estado as global to modify it
    aleatorio = random.randint(1, 11) * 5
    print(aleatorio)
    if aleatorio == 55:
        estado = "Red"
        ctypes.windll.user32.MessageBoxW(0, estado, u"Error", 0)
    elif aleatorio == 30:
        ctypes.windll.user32.MessageBoxW(0, 'Green', u"Error", 0)
    
    # Restart the timer
    t = threading.Timer(0.15, contador)
    t.start()

contador()

Screenshot:

When 55 is the aleatorio. Red will appear in the MessageBoxW.

When 30 is the aleatorio. Green will appear in the MessageBoxW.