Does the Yamaha DX100 FM Synthesizer have any
analogue waveforms like: "Sawtooth, Triangle, Square"?

I don't think so; you have to use two operators to produce something close to those waves. If modulator freq = carrier freq (top=bottom) and the modulator's output is fairly high, you will have something like a sawtooth. You can adjust its quality with that output level. If the modulator's frequency is twice the carrier's you will get something like a square wave, and the rest of the above applies. Other multiples of modulator-to-carrier give you sounds like different pulse widths.
If you really want a choice of source waveforms, go to the TX81Z (a module).It's fairly easy to find and fairly reasonably priced, should be under $200?mn

The reason I asked rather the Yamaha DX100 have analogue sounds is because I want to use one to push through a talkbox (as did Roger Troutman). Any suggestion on what amp levels I should use for: Volume, Gain, Master, Treble, Middle and Bass?

hmm...a talkbox works by putting back pressure on your amp's speaker cone, right? Then you have to mic the result into your mixer/PA/etc, right? So it's probably a matter of experimentation as to what setting excites it the most with y o u r voice. I hope that people who've done this will chime in.mn

I saw a DX21 the other day and it had 'FM square','FM sawtooth' and I think 'FM pulse' in its patchbank. These are compatible with the DX100. So if you know your way around this site you should be able to find the factory bank to download. If you don't have one already, you need a sysex editor to load the file through your computer's MIDI out into your DX's in. More details on any of this, email me.mn