Despite the answers saying that you cannot debug XAML, there is something you can do. To master this kind of debugging, you have to understand how XAML works. You can find further reading here.
Actually, XAML can be used both build time and runtime, you are probably talking about design-time XAML data, such as instances of XAML System.Windows.Window or System.Windows.Controls.UserControl. These XAML are use to generate C# code, and then they are no longer used in the application runtime. After the build, the auto-generated code can be safely deleted, but it can encrease the incremental build time. So, you can get to that generated code and put your breakpoints there. Additionally, it can give you good clues on how one or another part of WPF really works.
But first, let's close the topic related to the runtime use of XAML, just in case you are interested in it. It is described here. You can load a XAML file during runtime and manupulate it. The most usual application is using XAML vector graphics. Obviously, you can debug this code in a usual way.
Now, let's get to the XAML used to generated code for your assembly.
How can you locate this code? Basically, you just perform the build and look for the code that is not your source code. :-) More exactly, you have to get to intermediate output files. The location of intermediate output depends on your solution, in particular, on your Directory.Build.props. Typically, it is defined by the project element <BaseIntermediateOutputPath>, and this is the most practical way to define it.
You have to find generated code related to your window or user control. For example, let's say you have the window About.xaml. Then you can find the generated C# code files under the names About.g.cs and About.g.i.cs. Both files will have comments showing that there are related to About.xaml.
However, please understand that this naming schema is not documented and can be changed or depend on the .NET version and/or platfrom. It may happen that you would need to perform your own research for .NET and WPF you are using. Main thing is to grasp the idea.
Now put your breakpoints in those generated code files and see how it works. Good luck!