The chip does provide a programmable interrupt but it's not brought out on the board you show. Adafruit has a board which does show one GPIO available. However, even if the Arduino sleeps the sensor must remain active to be able to generate the interrupt.
So, if the sensor keeps powered up (Vin and GND always on), even when arduino is at a sleep state, it could trigger an interrupt to wake up arduino?
Yes. The GPIO (interrupt) output is open drain, so you need a pullup to the Arduino Vcc in order for it to be active.
You'll also need to look at how to program the device to configure the interrupt feature.