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The correct answer to this question is Trac 5128. Unfortunately, this has not yet been finished. But once this is done, what you want will be possible.

It's certainly possible in principle, but, as you have seen, it's quite annoying in practice. The main reason is that Sage plots are NOT really mpl plots until we actually save or show them as graphics files; until then they are Sage-y Python objects. Look at the source code file for some plot type, under the _render_on_subplot method for where mpl really is used.

Any contribution to this patch would be very welcome, by the way!