How does Thespian's Stage work with Urza's Saga?
It interacts rather favorably. You can use the Stage to copy the Saga, and initially, nothing will happen. The Stage will be a copy of Urza's Saga, but without any lore counters. But over the next few turns, it will get lore counters and will gain the abilities from the Saga's chapter I and II abilities. Once you get to chapter III, you can then respond to the chapter III trigger by activating the Stage's ability to copy another land. The Stage will stop being a Saga, so once the chapter III ability resolves, you won't have to sacrifice the Stage.

And, as an extra bonus, if the Stage copies another land, it will keep the abilities gained from the chapter I and II abilities of Urza's Saga. The copy effect from the Stage is applied in an earlier layer than the effect that adds the abilities to the land, so the Stage will be able to tap for colorless mana and to produce a token, even if the Stage copies another land.