Yes, he did.
Among the Madhyadina and Kanva Vajasaneyi Shakhas of Shukla Yajurveda, Sayanacharya has a commentary on the Kanva Samhita.
A book comprised of that commentary can be purchased from here. From the foreword/preface to Volume 1:
We have contemplated to bring out the edition of Kanva Samhita, with Padapatha and three commentaries in four volumes. Fifth volume will consist of various indices. The commentaries of Sayanacarya and Anandabodha have been available on the first twenty chapters, while chapters 21-40 have been commented upon, by Anandabodha and Anantacarya.
The edition of the Kanva Samhita has been prepared, as planned by, me earlier with Padapatha and all the three available commentaries. Of these three commentaries, Anandabodha's Bhasyasangraha alone covers all the four Dasakas - Sayana's Vedarthaprakasa is available only on the first two Dasakas and the remaining latter two Dasakas are commented on by Anantacarya, I could not, however much I liked to, include the Orissan commentary on the Uttarurdha attributed to Sayana in my edition, for reason I have mentioned in the Introduction. However, I must mention here, this is the first critical edition of the entire Kanva Samhita with Padapatha with accent and all the three commentaries, of which, as far as I know, Anandabodha's has been printed only in part before; and Anantacarya's was never.