Yes. Sagas do work in Unobtrusive mode. Call your initialization code in the class that implements IConfigureThisEndpoint, where the instance of the Bus is created and that should fix the problem for you.
For example:
public class EndpointConfig: IConfigureThisEndpoint, AsA_Publisher, IWantCustomInitialization
{
public void Init()
{
var container = new WindsorContainer();
Configure.With()
.CastleWindsorBuilder(container)
.FileShareDataBus(@"..\..\..\DataBusShare\")
.DefiningDataBusPropertiesAs(p => p.Name.EndsWith("DataBus"))
.DefiningCommandsAs(t => t.Namespace != null && t.Namespace.EndsWith("Commands"))
.DefiningEventsAs(t => t.Namespace != null && t.Namespace.EndsWith("Events"))
.DefiningMessagesAs(t => t.Namespace == "Messages")
.DefiningEncryptedPropertiesAs(p => p.Name.StartsWith("Encrypted"))
.UseNHibernateSagaPersister()
.UseNHibernateTimeoutPersister()
.UseNHibernateSubscriptionPersister();
Configure.Serialization.Json();
}
}