I bet it could. But how would it ever turn its self back on? I mean if it is receiving OBD-II information then it knows when the car is running, but if it isn't (which it wouldn't be if it is "off") then it couldn't know to switch its self on.
The phrase you need to google for is "battery isolator". Unfortunately most are rated at like 40 amps for RVs and you want a 40 milliamp one. Many ham radio guys know all about little boxes that connect when the voltage rises above 13.7 volts and disconnect when the voltage applied drops below 13 volts or so. Traditionally you don't use a microprocessor for this, its a beefy FET and two resistors in a voltage divider and not much else. That can be kinda drifty and imprecise depending on resistor and FET tolerance.
Another way is the car squirts ODB-II "stuff" at the port when its on, so little more than a diode/cap/FET combined properly will more or less work.
The strangest way I ever saw relied on what amounts to "hearing" alternator whine over the DC bus. If the alternator isn't spinning while the engine's running, you've got issues. Any source of KHz range noise would activate them, including unfortunately high powered CB radios.
If the device has its own battery power, it could probably use a transistor to just disconnect from the battery voltage completely and go into a low power mode where it just checks for ODB2 information periodically, or even just turns itself on when your phone is in range.