Not that I'm aware of. I assume that you have some reason for using identities other than just different mail accounts, because 1 OE identity can use multiple mail accounts.
What you could do, is add the other accounts to the main identity & use the 'leave messages on the server' option. Then use mail rules to move the 'other' identities messages into folders for sorting. Now you would know which 'identity' has messages (and what they are). If it's something worthy of your attention, you can change identities and do whatever you need to do. The only problem is that you will periodically need to manually delete the sorted messages from your folders of your main identity.