"Coy mistress" said native of Minnesota once (8)
I believe the answer is:
cheyenne
'native of minnesota once' is the definition.
(Native American)
I don't understand the remainder of the clue.
(Other definitions for cheyenne that I've seen before include "Native American of the western Plains" , "native language" , "US state capital" , "Native American of Montana or Oklahoma" , "tongue" .)