Not supported by GDB, unfortunately.
Here is a chat log from the #gdb at irc.freenode.net
(2009-12-29 12:45:08) obfuscated: hello, is there a way to do the same thing (see the link) with gdb as with vstudio's debugger - http://www.litwindow.com/Knowhow/wxHowto/wxhowto.html#nostepinto
(2009-12-29 12:47:34) brobecke: not as far as I know. This is something that has been requested once or twice in the past...
(2009-12-29 12:49:33) pholklore: it's such a common request that the last PR filed wants the same basic thing. PR11117
So we should wait