You should mention what microcontroller (which arduino board, or which chip if using standalone) when asking a question. There are over a dozen official boards spanning at least three architectures, dozens of AVR's used standalone, and other third party board packages. A few of these are weird, and there are specific comments we might make depending on what you're working with.
Generally, after the interrupt that woke the chip finishes running, execution of code will continue from immediately after the point where you put the chip to sleep. It's not uncommon for the ISR to be empty when it's just being used to wake from sleep.