95v voltage regulator for lme49830?

The TL783 from TI is adjustable from 1.125V to 125V and would be ideal. However, there is no equivalent for negative voltages. You will have to live with an unregulated supply or roll your ow regulated supply with discrete components.

As for what happens if the output stage voltage exceeds the chip voltage, my guess would be that the magic smoke (that can only come out and never go back in) will appear...
Zeners sound good - the simplest solution is usually the best one. The current is low enough for this. For a LME49830 circuit there is little need for things like short circuit protection.

For a more sophisticated circuit, have a look at this:

How to build High-Voltage Regulator With Short Circuit Protection - circuit diagram

Only the positive half is shown, but brewing up a mirror image for the negative half is not rocket science.