Hi @Donna21, welcome to our forum!
There is no such inbuilt feature in the phone and I'm not sure if any kind of call recording application will be able to record the sound from a voice mail. You can also have a look in the Google Play store, or play the voice mail message through the speaker of your device and record it with another device, if you have one available.
Depending on the laws in your country and the operator, you may be able to get your operator to send you the recording, so you can always have a look with them.
I hope that helps!
