Citronella plants are a type of scented geranium (Pelargonium). I suppose the different pelargonium species vary a bit in their hardiness, but generally they are considered hardy in zones 8-9. Memphis is warmer than here, so it's possible that yours might survive the winter outdoors, but I wouldn't expect it to.

Geraniums make pretty good houseplants. Cut it back, bring it indoors, put it in a sunny window, and don't water it too much.