Have you tried shutting down all the ADC registers before dropping into sleep? Apparently just using

Code:
ADCSRA = 0;
reduces power consumption by three orders of magnitude. It'd be like Sketch J here: http://www.gammon.com.au/power

Apparently that sketch on a bog standard Arduino draws only 0.15 microamps while sleeping, which is two orders of magnitude less than I thought. Should work on the Mega.