Sure thing. Here's what works for me:
I'm using Yosemite 10.10.2 and iOS 8.1.3. Under iCloud settings on both devices, iCloud is set to sync Calendars and Mail (and everything else, but I'm not sure it matters).
1. Drag an email from Mail to Calendar (Side note: If it doesn't work to drag from the list of emails, it could be(?) b/c it's a thread from multiple email addresses. To drag a single email, move your pointer to the right side panel that displays the message, and then let it hover just to the left of the From/To/Subject area. A hand will appear. Drag the message to Calendar. Ok, moving on.)
2. Event appears in Calendar on the Mac. Event details say "Show in Mail." Clicking that link opens the email.
3. Go to iOS device. Event appears in Calendar. Tap the event. Event details say "Show the message in Mail." Tap this. The linked email opens in Mail on the iOS device.
Hope that helps!