This depends on the microcontroller used and what wakeup sources it allows. LPC1800/4300: the event router allows wakeup via CAN from sleep mode. It allows wakeup from other power modes through the wakeup pins therefore an idea is to connect CAN_RX to a wakeup pin. LPC11C00: the WAKEUP pin could be connected to CAN_RX. Note that the part can only go into deep sleep mode if there is no activity on the CAN bus first (which would mean the WAKEUP pin is high).
"FAQ contribution from Embedded Systems Academy, experts in CAN bus. For more information visit www.esacademy.com"