Here's one scenario;

The PIC wakes up at regular intervals using the WDT. If switch = 0, then go
back to sleep. It's only awake for a few uS testing the switch.

If switch = 1, then do whatever you need to do, then test the switch input
before going back to sleep.

A switch press can also wake the PIC up before a WDT timeout. Handle
whatever you need to do, test the switch, and go back to sleep or stay
awake (resetting WDT) as required, based on the switch input.

It's still going to save a boat-load of power since it will be sleeping until your
switch is active, or the WDT times out.

If the switch isn't active, it's still alseep for the majority of time, and you'll
be operating at low current until the switch input forces the wake up, or the
WDT timeout.

Wouldn't that work?