I think it would be more accurate to say that some named MacKay were part of the Clan Donald -- it would NOT be accurate to say that the Clan MacKay itself was a sept of the MacDonalds. Remember, what clan one belonged to really had very little to do with surname and a lot to do with geography.

I find that the Clan Donald web site has much more information than most when it comes to explaining sept relationships. They do, indeed, list MacKay as a Clan Donald surname, with these notes:
Only those from Islay, Kintyre, Antrim or N. Uist. Clan Donald MacKays derive from: Gaelic Mac Aoidh - "son of Hugh". From Kintyre, to Islay. Clan Donald SOUTH. Some to N. Uist in 17th cen - Clan Donald NORTH. No relationship at all to the Northern MacKays.