Arduino PWM Pins Interrupt
You can define an interrupt service routine (ISR) for each Timer and PWM pin that it handles. These are known as TIMERn_COMPA_vect, TIMERn_COMPB_vect and TIMERn_COMPC_vect. The Mega has six Timers (n=0..5). 

ISR(TIMERn_COMPA_vect)
{
// Timer/Counter compare match A
}


Check the PWM configuration for how the pin is set, cleared or toggled. 

Cheers!