It is possible because of the fact that Caja integration is already included into Python-extension (see my patch from 2014 year) and current version of nautilus-thg.py
file.
So we need to install tortoisehg-nautilus
and copy extension from it to home folder, install Python Caja extension and then remove tortoisehg-nautilus
package:
sudo apt-get install tortoisehg-nautilus caja-extensions-common python-caja
mkdir -p ~/.local/share/caja-python/extensions
cp /usr/share/nautilus-python/extensions/nautilus-thg.py ~/.local/share/caja-python/extensions/caja-thg.py
sudo apt-get purge tortoisehg-nautilus
sudo apt-get autoremove
sudo apt-get install tortoisehg mercurial
restart Caja with caja -q
and enjoy.