How familiar are you with programming in C#?
It's kinda easy but you can't do it in the inspector. It has to be through a script.
I'd store a reference to the bone you want the sprite attached to and keep a relative rotation. You have to update the position of the sprite every Update based on that bone's properties. But having a pivot you can adjust specifically for the sprite takes some work. There's a script order thing to keep in mind here, the script has to run after the skeleton you want the sprite to be attached to updates or else your sprite will lag 1 frame behind.
It doesn't pass through Spine's attachment system because there's no corresponding functionality across the other runtimes. (yet?)
Though I wonder if there's a good way to add this functionality to standard Spine-Unity, at least for people who want to use it.