Well, there's Units:IsOutOfInterceptions(). Simple boolean telling you whether an interceptor has any interceptions left. So all you'd need to do is make an end-of-turn event that sees if a unit could make interceptions (fighter unit or AA with the right promotions), and if it's out, you'll know it did. The problem here is simply that if a unit could make 2 interceptions and it only did one, then it won't trip that flag.
Alternatively, just tie whatever logic you need into RunCombatSim or EndCombatSim. If the defending unit is an air unit, then it MUST be an interception. Unfortunately, the combatsim events have a few limitations (no Quick Combat, no Strategic View, some positional issues, no information if one of the two combatants was a city), but there you go.