Your question is really "can I embed python in my C++ program" and the answer is, in principle, yes:
https://docs.python.org/2/extending/embedding.htmlNote however, that it's generally advised against, so you should probably only do so if you really have to. The initialization of sage is really that of a (rather complicated) python program so in principle, once you have python embedded you should be able to get sage embedded too. Be aware that sage normally tries to take control over things like signal handlers. So your embedding program might have to take care to accommodate such things.
You can compile C++ into python modules. So you could just take your C++ program, compile it as a dynamically linked library, and make a thin cython wrapper that allows you to invoke your "main" procedure. Technically, you would be calling C++ from sage, but once your program is running, it would be more or less indistinguishable from working the other way around. Unless your C++ program has a lot other dependencies that are hard to satisfy from within sage, this is almost certainly the easier way to go.