Yes! Head over to Reporting > Reports > Support tab > SEN.
Leave all of the search criteria as they are, and then click Choose:
Once the report has run, you can filter the results list to show only those SEN pupils who also happen to be eligible for Pupil Premium. In the blank text box below the Aspects column heading, type "P" and then hit enter. This will filter the list to contain only the students who meet the criteria of being SEN and Pupil Premium pupils: