Yes, there are multi-select fields in Clay. For example, in the Find Contacts with Clearbit integration, both "Roles" and "Seniorities" are multi-select fields that allow you to choose multiple values.
Source:Find Contacts with Clearbit
Based on the available column data types in Clay, there isn't a specific mention of a multi-select property for regular column types. To change a column's data type, you can right-click the column, select "Edit Column" > "Select Data Type", and choose from the available data types.
Source:Select Column Data Type