pass an interop callback from C#, via C++ CLI, to native C++

Yes, this is quite possible; and this possibility is quit often used, because big number of, for example, raw Windows API functions works through such callbacks.

In this approach, a callback signature is represented by a .NET delegate type, and the actual function parameter passed to the native function is represented by a delegate instance based on this delegate type (you should understand that the type of the delegate instance is System.MulticastDelegate, not the corresponding delegate type). Such actual parameter is automatically marshaled by the Platform Invocation Services to the native pointer to the callback function.

The examples of it can be found in many places, I just don't know what functions using callbacks do you want to call. I think you can just start writing code and ask another question if you get stuck. Of course, using P/Invoke for functions using native callbacks is somewhat more difficult than others. :-)

—SA