You can't wake the Component up from deep sleep with a regular Interrupt. You need to use the I2C component to wake up the device and an external I2C signal to wake up the device.
Deep sleep can be exited by a GPIO interrupt.
PSoC 4 devices can wakeup from deep sleep with the GPIO interrupt. See the image attached which shows the wake up sources on each power mode.
@bob goar : I think you got confused by this statement "While it saves more power, deep sleep has fewer options for waking up. In sleep mode all the hardware continues to run and any interrupt wakes the device up. Deep sleep shuts down most of the hardware and so those interrupts cannot fire. One exception to that rule is the serial communication blocks, which has an enable wake from deep sleep option in I2C mode." It means the interrupts generated from hardware block will not be available as they are shutdown. Hope this clears the confusion.
@iFedex: I have attached one simple PICU interrupt based example project for your reference
All this info including the table can be found in this appnote : http://www.cypress.com/file/121271/download