Yes it's definitely possible, when using this Enhanced Z-Wave DH:
The lock will send a "Tamper" alert when the built in alarm is set off. You can then use this tamper alert to set off the alarm using SHM. If you want, you can also configured the DH send a "motion" alert in addition to a tamper alert since not all SmartApp support tamper alert devices but most of them support Motion alerts.
Here's another app you may find useful to set off the siren when it detects tampering.