You can sacrifice a Wildling character that is about to be killed at the same time as attached character. For instance, when satisfying claim for a 2-claim challenge, you can choose attached character and another Wildling character, then use Magnar of Thenn to prevent either character from being killed (but of course the other character is still sacrificed).
If the Interrupt is cancelled, the character is still sacrificed. You cannot trigger it again in that case, even if you have another Wildling character available. Attached character will be killed unless you use another (different) save effect to save it.