I don't believe you can have it that way. You either have a MAC whitelist or you don't and you either have WPA2 enabled or you don't. I don't think there's any pre-built software that will accept a connection from a known MAC and prompt for a WPA2 key if the MAC isn't on a list.
But as has been said, MAC whitelists provide a very small amount of security and shouldn't be relied upon by themselves. It's like having a door guy that just has a list of names on it without actually knowing the people. If I know a name on the list and I give tell him I'm one of them he'll let me in regardless of whether that's my real name or not.