When an interrupt is triggered it points to a vector in the code that's stored in the EEPROM. If operating solely in direct mode you will not be able to use interrupts. However the PANdrive can be used in a combination of direct mode and standalone mode. In this way, commands can be sent to the module through the direct mode, and when an interrupt is triggered it can direct to an interrupt vector in the code on the EEPROM.
There is an example TMCL script for handling StallGuard interrupts included in the .zip file which can be downloaded from: https://www.trinamic.com/support/software/tmcl-ide/#c3299 under the following path: TMCL Script Examples/single axis/EX0013-Interrupt_stallGuard2.tmc