I’ve planted six Mexican sage bushes through my property. Initially they were beautiful with purple flowers and now they've all turned white and dying.
Mexican bush sage (Salvia leucantha) is drought tolerant but does require more water when being established. I would imagine that you are either under or over watering.
I would recommend that you stick you finger in the ground up to your second joint to be sure ground is actually dry before watering. Also when it is very hot some plants will wilt in the heat of the day even when they are well watered. This is because over a certain temperature plants have trouble taking up water. Salvia should be planted in full or part sun in well drained soil.