Hi,
Does Arduino Mega support analog interrupt ?
Can you define what you want/ mean?
This question is asked every so often.
An analog interrupt makes no sense, since interrupts are triggered by logic levels, either transitioning from LOW to HIGH, or HIGH to LOW or simply either of those.
If you wish to detect either of those transitions, then you use a digital pin (which may well be an "analog" pin which generally on an Arduino, is actually a digital pin with an additional analog input capability). But no corresponding transition exists for analog values.
And in addition, most questions asked in regard to interrupts, indicate a lack of comprehension of the purpose of interrupts; the so-called "XY Problem".
So perhaps if you can explain what you really wish to do, we can help. 
An analog interrupt makes no sense, since interrupts are triggered by logic levels,
Apart from analogue comparator interrupts, end-of-conversion interrupts. . .
Which are quite different things.
But things which could be construed, by a noob, as analogue interrupts.
Particularly the former.
Will we ever know?
Maybe in the morning - I'm off to bed. 