Unfortunately no. It requires a data connection which gets cut when your roaming. The only 2 ways to negate this other than jailbreaking are to enable roaming or find a wifi network!
I work in Germany, where I use my iPhone as usual, but I would like to use at least whatsapp in my home country Italy on weekends etc... (Roaming price is 0,83euros/1MB - so not too pricey)
The iPhone does not support selective data roaming.
You could go through the settings for all of your other Apps and device features (push notifications, emails etc.) to turn off their data usage, but that would obviously be time consuming and it would be easy to miss something.