Feels a little bit like a stretch for some of the clues, but are you a...
I’m friend with a song, we both come along, with joy and celebrations
Countries have national flags and anthems, which usually go hand-in-hand for different ceremonies.
I love my tattoo, my dancing cane too, I speak across all nations
Flags have a pattern or emblem on them, can be waved around ("dance"?) on a stick, and are recognizable to other nations regardless of language.
I take part in games, and sometimes in flames, I’m different from all the rest
They are displayed by each country at the Olympics, are sometimes burned, and are unique to each nation.
I see you were brave, I’ll visit your grave, remembered by generations
Soldiers have flags placed on their graves.