Could Mexican Sage do okay if it doesn't get full sun?
Can you think of any good companion plants for Mexican Sage?

If that is Salvia leucantha, Mexican bush sage, it does very well in clay soils. It may die back to the soil, but should come back in Spring unless it was exceptionally cold. I prefer the S. leucantha "midnight" which is an all-purple flower stem.

I don't know your zone well enough to suggest companions - in CA, poppies, primrose, verbena and other sages look good with it. I have it next in front of Tagetes lemonnii (lemon marigold bush) and the purple and gold look great together.

It rarely survives the winter in my zone 7 garden. I usually grow them in large pots and keep the pots next to the garage for quick shelter when a frost or freeze is expected. They usually last until almost Christmas. I grow them alone in their pots, but since they normally don't flower until October you could grow anything you want at the edge of the pot.

So if I planted Mexican Bush Sage in the ground in Zone 6, it would be an annual and wouldn't come back next year?

Hmmmmm. . . . what about catmint? Would it reliably come back as a perennial here?

Many Nepeta species are quite hardy in USDA Zones 5 and colder.

I have had Salvia leucantha come back three years in a row here in zone 7a NC but this past winter the weather was too freaky and it didn't make it. I think the unseasonably warm weather and then the swings in temperature did it in since I treated as I had the previous three winters when it surivived.