Not a complete solution, but in VS2015, after you’ve run Initialize Interactive with Project, you can use Debug > Attach to Process to connect to the InteractiveHost.exe process.
You can then debug functions from your project. You won’t be able to debug one-off functions in the Interactive window, though, as Kevin explained.
As as side note, https://stackoverflow.com/a/40650343/467110 points out that you may have to have a C# Interactive window open before you open your solution in order to successfully Initialize Interactive with Project