A final unending exclamation of grief (4)
I believe the answer is:
alas
'exclamation of grief' is the definition.
(I've seen this before)
'a final unending' is the wordplay.
'final' becomes 'last' ('last' can be a synonym of 'final').
'unending' means to remove the last letter.
'last' with its last letter taken off is 'las'.
'a'+'las'='ALAS'
(Other definitions for alas that I've seen before include "Unhappily" , "express regret thus" , "More's the pity" , "Cry of grief" , "Regrettably, unfortunately" .)