There would be very little point.
Consider what happens when (on Android 1.6 or above) you press Menu -> Settings -> About phone -> Battery use. What's the top hardware item on the list? WiFi? Display? My point is, Display is nearly always top of the list or 2nd top. It uses a ton of power.
So, lets say you're running an app, and that app needs to do some processing which would normally take a second at full processor speed, but the processor is throttled to 1/10th it's speed. What happens? Well, it takes 10 seconds to process the same code.
Now, let's assume the processor uses 1/10th the power when running 1/10th the speed (it wouldn't, of course, as its internal RAM and other components will require the same power no matter what state the other parts of the processor are in - it would use much more than 1/10th)... that means it takes the same amount of power to process the same stuff, only it does it more slowly. So either way the CPU uses the same power after 10 seconds is up.
But...
Full speed: 1 second of display.
1/10th speed: 10 seconds of display.
So all you've done is use a load more power by having the screen on for longer and the user got fed up waiting.
Of course this only applies when the user is waiting on the CPU. A lot of the time the CPU is waiting on I/O (network, SD card, user input, etc), or the screen is off and it's doing stuff in the background.