HDL is "Hardware Description Language". So any routine would have to make sense in this context. What specifically are you asking? For example, if you are describing a CPU with the VHDL code, than an interrupt would probably refer to the interrupt controller. If you are interfacing to a softcore CPU, interrupts would likely be defined somewhere in the hardware spec. If you have a state machine, then interrupts might not make sense or could be implemented in many different ways. Again, HDL defines the hardware and has no built-in concept of interrupts.
Describing HW is much different than writing a program -- the CPU only works on one task at a time because that is all the CPU allows. An interrupt thus must force the CPU to stop what it is currently doing and handle the interrupt. But that is only because of the way the CPU was designed. If you are describing the hardware yourself, you can take the interrupt condition, and simple design a small piece of HW to handle that condition. This can allow the rest of the design to continue working uninterrupted.