Alone in Lyon sadly (4)
I believe the answer is:
only
'alone' is the definition.
(I know that alone can be written as only)
'lyon sadly' is the wordplay.
'sadly' indicates anagramming the letters.
'lyon' with letters rearranged gives 'ONLY'.
'in' acts as a link.
(Other definitions for only that I've seen before include "Existing alone with no other, perhaps a child" , "Simply" , "And nothing more; sole" , "Exclusive - individual" , "Unique; merely" .)