I doubt that this is supported (without resorting to a battery-draining wakelock) at either the platform, kernel, or underlying radio firmware levels without modifications to the last to bring volume presses during sleep to the attention of the kernel.
Within the realm of reasonable system-ROM modifications, a more reasonable one might be to modify an existing open source ROM for the device to insert some custom platform level code into the handling of the power button usually used to wake up the device preparatory to unlocking it - that at least we know does get the attention of the kernel. That code could then inform the user by sound or vibration if there are unacknowledged notifications.
You could optionally wait briefly, check device orientation, or look for another key press to avoid doing this in an annoying way when the user is holding the device outside their pocket and trying to unlock it.
Or you could not use the volume key and just set a timer to wake up every 15 minutes and vibrate if there are unacknowledged notifications, avoiding the need to fumble in ones pockets.
You mention it's a custom request: if implies it's one off or low-volume, another option to consider would be that a few vendors have "bluetooth watches" out with an SDK that lets you push notifications from an android device.
If you can capture the notification when it's generated, you could push it to the user's wrist, and then let the phone go back to sleep.
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