Yes. There's an optional flag available called "debugAtAllCosts" that pulls files in the "expensive" way, in order to provide exactly this. It requires that you include one more line in your usage. Here's how you might use it:

<script>
    djConfig = {
	isDebug: true,
	debugAtAllCosts: true
};
</script>
<script src="/path/to/dojo/dojo.js"></script>
<script>
	// dojo includes here
	dojo.require("dojo.myModule");
	dojo.hostenv.writeIncludes(); // this is a new line
</script>

Once you've structured your code this way, if you open up Venkman, you'll see all the constituent files listed and you can then set breakpoints.