It does have a pin for that (#M1, "machine cycle 1").

Zilog actually designed their peripheral chips to handle the RETI (return from interrupt) opcode specially. On the Z80 itself it does the same thing as a normal RET, but other chips can detect it on the bus and treat it as the signal that their interrupt handler is finished.

I also recall reading about some hobby project to add a PC-relative addressing mode to the 8080 or Z80. A redundant opcode like "MOV A,A" would be used as a prefix, which caused the external hardware to add the program counter to the immediate operand of the following instruction. Can't find it right now.