Depends on what you mean bvy working with them.
If you link the file then you will not have the layers converted to editable object in Illustrator and if you do embed then you cannot edit in Photoshop only in AI.
However you can only one layer comp at a time in Illustraator whether it is embedded or not so in order to work with the layer comps embedded or linked you would probably do best as to make individual artboards for each layer comp you wish to place and and place them one at a time. So if you have 4 layer comps you have four artboards I also suggest creating a new layer for each artbaord and layer comp.
The actual answer I guess is no.
But if you decide the approach of different artboards works for you then if you do a new layer comp you can then place that comp on a new layer and in a new artboard.