I wager no.
You maybe able to go the other way around, Onkyo off, component off, but not the way you want to.
The reason for this is, the Onkyo is the master, switching off one component doesn't mean you are done with it, you may want to use the Onkyo for something else. OTOH, when you switch off the Master, you are REALLY done.
Nothing that cannot be fixed with a fully programmable remote however, program a button to send two signals, one component off, two Onkyo off.