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Can't hurt to try it (although I would suggest a heavy mulch for winter). Especially if you put it near a large rock (that would get warm in the summer sun and keep the surrounding soil a little warmer as a result) or if you put it near a house foundation. In particular the "Little Spire" dwarf cultivar is listed in numerous places as hardy to zone 4, which should be less of a stretch for you with some winter protection. And in fact, this website (not that I can vouch for its accuracy) specifically recommends Perovskia for zone 3! Unfortunately they list it under "S" for sage, which of course makes me question their accuracy on other things, but like I say, it can't hurt to try.