Trump doesn’t want to lose voters by firing Sessions. Sessions is probably in “hang together or hang separately” mode and will try to get as much of the illegal immigration mess cleaned up as he possibly can, hoping that his boss will figure out how much easier his life will be with greater than 10% of his staff in place.
Trump is doing his best to turn support against Sessions so it makes terminating him less risky.
If there is a Clinton investigation underway, I don’t think ethically Sessions can say much.
Either way, what a way to treat a fiend.