It's fairly common knowledge the Ctrl + clicking the wireframe or Ctrl + clicking a unit or building on the screen highlights all of those units / buildings. However, that's only part of the story. What you may not have known is that Starcraft II treats borrowed units differently, actually as entirely different units. If you Ctrl + click a Burrowed Swarm Host, either in the wire frame or on the screen, only Burrowed Swarm Hosts will be selected. Same if you Ctrl + click Unburrowed Swarm Hosts, the game will not select the Burrowed Swarm Hosts if you Ctrl + click an unburrowed Swarm Host.
Also, for every Zerg unit, except the Swarm Host, if Burrowed and Unburrowed units are selected together, the wireframe will place every UNBURROWED unit before every BURROWED unit. However, in the case of Swarm Hosts, it's the opposite. The wireframe places every BURROWED Swarm Host before every UNBURROWED Swarm Host.
That's the background knowledge, which leads into the following tips:
ZvX: If you don't want to change the hotkey for Swarm Host Rally, but still don't want to Suicide your units, simply Ctrl + click the FIRST Swarm Host in the wireframe and use the standard right click for your rally. Since only burrowed Swarm Hosts will be selected, and issued the right-click command, no unburrowed Swarm Hosts will be Suicided.
ZvX: Ctrl + clicking a unit on the screen will highlight only the units of that type that also share the same burrowed / unburrowed status as the unit you clicked on. One obvious use of this is burrowed roach micro. When burrowing individual roaches in a battle, you can Ctrl + click one burrowed roach, and move all burrowed roaches to the back of the roach line knowing that it's only the burrowed roaches that will get the command.
Alternatively, instead of moving burrowed roaches back, they might be moved to a flank, or to prevent a retreat, as they will be repairing as they move. Obviously, this more aggressive approach is lol better if they don't have detection, especially since aware opponents would target burrowed roaches regardless of autoattack priorities.