Hello Martin,
I've tested this exact question on the bench and it has a good solution which guarantee detection of the edge.
The LLWU wakeup pins share functionality with digital input ports that have edge detection functionality. You must use input pins that share this functionality to have this guarantee.
To insure that no edge is missed you need to
1) enable the port PCR register edge detect interrupt for the port pin.
2) enable the LLWU edge enable register for the same input pin for LLS wakeup.
When the edge occurs in Run, WAIT, STOP, VLPR, VLPW, VLPS. the port interrupt will fire.
If the edge occurs as the MCU transitions between RUN or VLPR in to LLS or VLLSx low power modes the port interrupt is still going to fire and abort the low power mode entry.
The MCU may report a STOPA stop abort flag depending upon the timing of the edge with respect to the mode entry.
The CPU will execute the port interrupt function and ,in LLS entry, will return execution to the instruction following the WFI instruction.
I hope this helps.
I'm updating AN4503 and will include a paragraph on this topic. It's critical for some applications as you note.
Best Regards,
Philip Drake