Yes, as long as the webgrid posts back to a controller every time it pages, you could capture the current page number in session, and then when you come back, you can reload to where you need to go. Add this to your model:
public int PageNumber { get; set; }
In your controller, set the PageNumber to 1 for default, or the value stored in session when saved. This value gets passed to the view, which you can then pass to the webgrid, which takes a page number to show.