Russian sage, Perovskia atriplicifolia, actually a native of Afghanistan, is indeed a perennial. Its long-lasting cobalt-blue flowers, airy appearance, and strong scent offer a nice accent plant in the garden. Depending on which reference one reads, it is either hardy to zone 5 (USDA), zone 4, or zone 3. Near Lake Superior, it is zone 4. As you go farther away from the influence of the lake (mainly its moderating effect in the winter), you move from zone 4 to zone 3. For such plants that are borderline hardy, mulch during the winter, particularly the first year or two after planting. Don't cut back the foliage until spring, and try to plant it in a sheltered but sunny location.
As far as heavy clay is concerned, few plants are happiest in this soil. During extended periods of wet weather, clay drains poorly, depriving plants of oxygen and encouraging diseases. During extended dry periods, the texture of clay becomes hard and impenetrable. It is difficult to drastically change the soil very deeply, owing to the massive surface area of the particles in clay soil. However, you can raise the surface of the garden and improve the clay with organic material, such as rotted straw, fibrous peat, leaves, or garden compost. Avoid a sharp division between "good" soil and the native clay soil.