The TCPWMs are off in Deep Sleep so that wont work.
Given that an LED burns at least 1mA or more I am not sure how that is going to be consistent with saving power. Even with a super low duty cycle the LED will burn at least 10x the power of the CPU.
If you are going to use the LED to indicate the state of the battery you probably want to do the math and make sure that you can achieve your design objectives e.g. battery life.