Is the anti-inflammatory a steroid or a supplement?
If that's all he's on here's what I would do:
A massage therapist won't hurt, it'll help a great deal with the pinched nerve, but won't make a difference for the arthritis.
He's probably walking more outside because he can make wider turns. Tight turns will be hard on him - but you'll just have to live with that, he's old that's what happens.
To help him with his arthritis these are a few supplements you can look into and choose between:
My favorite is MSM here's some details on it: Vita Flex MSM - Equine Anti-Inflammatory Supplements from SmartPak Equine
This is a great mix of MSM, glucosamine and some other great joint supplements:Vita Flex MSM - Equine Anti-Inflammatory Supplements from SmartPak Equine
There's also cosequin which is highly regarded - I would get this, with MSM added:Cosequin® Optimized with MSM - Equine Joint Supplements from SmartPak Equine
Look into those, ask your vet what they think about those and pick whichever would be best for your particular mule :)
Arthritis really stinks, there's not much you can do to reverse it, but you can help support it and help him deal with it.