If you are already using Log4Net to log NHibernate activity, you should be able to already see any transaction-based NHibernate logging information unless your configuration is setup to filter out certain NHibernate classes from logging.
Take a look at the following article on configuring Log4Net to log NHibernate logging messages. Once you've got that done, you should be able to see all logging data.
Configure Log4Net for use with NHibernate
You could also explicitly setup a Log4Net logger to capture the transaction logging message by adding this node in your Log4Net configuration:
<logger name="NHibernate.Transaction.AdoTransaction">
<level value="DEBUG" />
</logger>
If that doesn't work, you can dig a little deeper. Here's some stuff to consider to get you started:
Let me preface by stating that I've never used Sagas with NServiceBus but doing a little research, here's what I can conclude.
NServiceBus internally creates its own NHibernate configuration to handle persisting Sagas. The configuration of that NHibernate configuration instance is done in a .config file. Take a look under the Sagas heading on the following page to get a look at what the configuration looks like:
http://docs.particular.net/nservicebus/nhibernate/
Taking a look at that, you should be able to add any new keys that may get you what you need.
You could potentially add an Interceptor or Event Listener to the configuration which is basically a class that will be called when certain actions are about to be performed by NHibernate such as saving/updating/transactions/etc. You can Google around for NHibernate Interceptors and/or Event Listeners if need be to get the whole scoop on what they do and how to use them or visit the NHibernate documentation here: http://nhibernate.info/doc/nh/en/index.html#objectstate-events
