I am using Adapter and building typed lists as described in the LLBLGen documentation (Using the generated code, Adapter, Using typed lists and typesd views, Creating Dynamic Lists).
You could override the adapter method OnFetchTypedList and put the set ansiwarning off statement before the query text in the passed in RetrievalQuery object. That retrievalquery object is executed right after that method, so it's the way to perform this operation.