Quoting the underscore docs:
It's also good to note that an each loop cannot be broken out of — to break, use _.find instead.
So no, it can't be broken from - their recommendation is to use .find - which breaks on the first truthy value you return from it - that won't help you in nested each though so you can either set a flag:
var flag = false;;
_.find(conversions, function(conversion){
 _.find(user.apilog, function(event){
        if( conversion.conditional(event) ){
            conversion.y++;
            return flag = true;
        }
    });
    return flag;
});
Or not use a nested _.each loop, one elegant approach would be to use a cartesian product:
   var prod = cartProd(conversations, user.apilog);
   _.find(prod, function(item){
        return item[0].conditional(item[1]); // will break on find
   });
Although a plain old JS for loop would also work and would likely be faster.