Add "Add to Devonthink" to Apple Mail context menu

Is there a way to have this choice listed when I right click on a message in Apple Mail?

No, that’s not yet possible.

Airmail 3 allows you to send an email to another app. Currently I send to Evernote, though I’d prefer to send to Devonthink

Talk to the Airmail people about this.

See post Airmail 3 - #6 by electrifiedBanana where you can send feedback to Airmail.

You can do it in Mail from the Message tab on the bar at the top of the window. It involves some extra mouse clicks, but you can set a keyboard combination to do this.