A case of my being taken in by swindle (6)
I believe the answer is:
cocoon
'a case' is the definition.
(I have seen 'Pupa case ' mean 'cocoon' so perhaps 'case' could also mean 'cocoon')
'my being taken in by swindle' is the wordplay.
'my' becomes 'coo' (I've seen this before).
'being taken in by' is an insertion indicator.
'swindle' becomes 'con' (con is a kind of swindle).
'coo' inserted within 'con' is 'COCOON'.
'of' is the link.
(Other definitions for cocoon that I've seen before include "Protective covering around some animal eggs" , "Larva case" , "Silky case protecting a pupa" , "Chrysalis casing" , "Wrap; pupa's protection" .)