If the event can be caught using VBA then yes, but the document will have to be saved with the macro-friendly file extension: .vsdm. And macros would have to be enabled at the user-end as well, not something you can control. However, if the file was saved with the non-macro-friendly extension: .vsdx the all the code will be lost and the prompt will never occur.
There are events for:
Document.BeforeDocumentSave
Document.BeforeDocumentSaveAs