A cry, little lady, a cry of pain! (5)
I believe the answer is:
miaow
'a cry' is the definition.
(I know that miaow is a type of cry)
'little lady a cry of pain' is the wordplay.
'little lady' becomes 'mia' (I am not sure about the 'little' bit.).
'a cry of pain' becomes 'ow' (exclamation of pain).
'mia'+'ow'='MIAOW'
Can you help me to learn more?
(Other definitions for miaow that I've seen before include "beastly sound" , "that the Queen's going?" , "Cat-call" , "Cry of a cat" , "Cat call?" .)