What does Non se ne va mai

Can someone break this down and help me understand how it means “he never goes away”

I roughly understand the words but not how they create that sentence and it’s driving me slightly mad 😅 mean?

See a translation

First of all, you need to know two things:
1) the verb 'andarsene' is quite special. It's made up of the verb 'andare' which means 'to go' , the particle 'se' which indicate that it's a reflexive verb. Then there is the 'ne' which is very hard to explain. In this case you can think of it as a pronoun for a undetermined place.
2) In Italian this sentences (as many other) require a double negative. In English you would say 'He never goes away' with only 'never' to indicate the negative; to say 'he doesn't never go away' would be wrong. In Italian you need to negate the verb 'non se ne va' and also include the "time": 'mai'.

Knowing this:

Non -> the negative for the verb
Se -> the reflexive particle (because the verb is 'andarSEne')
Ne -> that particle that referres to a undetermined place (again, the verb is 'andarseNE')
Va -> it's the 3 person singular, present tense, form of the verb 'andare')
Mai -> you could also just say 'non se ne va' but if you include 'mai' you make the statement stronger. He NEVER goes away. You just can't get rid of the guy.

I think the hardest part to understand is the reflexive SE and the particle NE.
To be honest I could not explain to you why 'andarsene' is reflexive. I guess it just is :/
It's also different from standard reflexive verb like lavarsi, chiamarsi, sedersi.
Here the reflexive particle would be SI: lui si lava, io mi chiamo, noi ci sediamo.
The verb 'andarsene' would be: io me ne vado, tu te ne vai, lui se ne va, noi ce ne andiamo, voi ve ne andate, loro se ne vanno.

And for the particle NE, it's used to replace an information that becomes implicit.
For example:
Non ne so niente -> again here, there's a double negative (non and niente). Perfectly normal in Italian. 'NE' here could be translated with 'about it'.

Best thing, to be honest, is just to remember that the verb 'andarsene' has these three elements: the verb 'andare', the particle 'se' (which needs to be adapted to the subject) and the particle 'ne'.

It is indeed quite a difficult sentence, very hard to explain as well... I hope this helps. If you have any doubts feel free to ask!