Unfortunately it's not possible. See: topic11439.html
The signal is actually being generated on the scope (not by the PC software). I don't know the design of the scope and PC software, but I would have to guess that such a thing would be technically feasible by communicating the generated signal back to the PC along with the captured waveforms. Though synchronization might be challenging? However, I think such a thing could also be misleading. E.g. if you have a circuit that's loading the AWG beyond its drive strength, you wouldn't know unless you measured it with another channel.