Elegy dreadful, Gray initially admitted (5)
I believe the answer is:
dirge
'elegy' is the definition.
(I've seen this before)
'dreadful gray initially admitted' is the wordplay.
'dreadful' becomes 'dire' (synonyms).
'initially' says to take the initial letters.
'admitted' means one lot of letters goes inside another (inserted letters get admitted).
The first letter of 'gray' is 'g'.
'dire' enclosing 'g' is 'DIRGE'.
(Other definitions for dirge that I've seen before include "air?" , "Mournful chant" , "Sombre music" , "Mournful music" , "Funereal song" .)