Given the nature of the ESP8266 (with the program in FLASH and no software interrupts,) I would think this would be very hard to do. I don't think code can be run from RAM.
In order to single step, a jump to a breakpoint handler would be needed to be placed into the code. Then to move on to the next instruction, a new jump would need to be placed in the FLASH at the next address and the breakpoint handler would need to be modified. Programming one byte would be hard.
Maybe I am missing something.
Mark.