Hello Chiara, 

I had the same need on another project, so I share my code with you : 

Add this to a custom plugin of your own or in function.php file
 
function URLParam( $atts ) {
extract( shortcode_atts( array(
'param' => 'param',
), $atts ) );

//two different values for action parameter :
if($_GET[$param]==='ok'){
return '<span style="border:1px solid #00FE00 ;padding:0 5px;background-color:#E5FEE5;">Merci pour votre confiance</span><br/><br/>';
}else if ($_GET[$param]==='cancel'){
return '<span style="color:red;border:1px solid red;padding:0 5px;background-color:#F9D8D8;">Votre transaction a été <b>annulée</b></span><br/><br/>';
}else{
return; //return 'Cas non traité : '. $_GET[$param];
}
}
add_shortcode('URLParam', 'URLParam');

Then edit the destination page within Wordpress editor and add this : 

[URLParam param='action']


Now you can redirect to this page with some action parameter, like : paypal/?action=ok

In the above case a nice green message should be displayed "Merci pour votre confiance" (Thank you for you trust)

Edit the above code to your needs. 

Hope this helps.