
avr |

He is helpless, and if a coup de grace (full-round action) is being performed it isn't a surprise round and lightning rager does not apply, even if you could take an immediate action while asleep. Even if you could enter a rage via lightning rager the feat says nothing about cancelling other conditions including sleep.
A coup de grace isn't quite an auto-kill though. There is still a fortitude save involved.

Andre Roy |
Well after looking at the rules:
1) He is sleeping so he is helpless by definition,
2) However, if he has uncanny dodge, he is not flat-footed, unless he is immobilized, so can use an immediate action,
3) Lightning Rager grants a 2 point AC bonus during the surprise round.
Personally, I would allow him to use it provided he "notice" the thread with a penalized Perception check. But that's my interpretation and I can see it go both way.