Runtime monitors assess whether a system is in an unsafe state based on a stream of observations. We study the problem where the system is subject to probabilistic uncertainty and described by a hidden Markov model. A stream of observations is then unsafe if the probability of being in an unsafe state is above a threshold. A correct monitor recognizes the set of unsafe observations. The key contribution of this paper is the first correct-by-construction synthesis method for such monitors, represented as finite automata. The contribution combines four ingredients: First, we establish the coNP-hardness of checking whether an automaton is a correct monitor, i.e., a monitor without misclassifications. Second, we provide a reduction that reformulates the search for misclassifications into a standard probabilistic system synthesis problem. Third, we integrate the verification routine into an active automata learning routine to synthesize correct monitors. Fourth, we provide a prototypical implementation that shows the feasibility and limitations of the approach on a series of benchmarks.