Animal cold in Shanghai, say? (10)
I believe the answer is:
chinchilla
'animal' is the definition.
(chinchilla is a kind of animal)
'cold in shanghai say?' is the wordplay.
'cold' becomes 'chill' (chill is a kind of cold).
'in' indicates putting letters inside.
'shanghai say?' becomes 'china' (I can't justify this - if you can you should give a lot more credence to this answer).
'chill' put inside 'china' is 'CHINCHILLA'.
Can you help me to learn more?
(Other definitions for chinchilla that I've seen before include "(Fur of) a small South American rodent" , "Soft grey fur" , "furry creature" , "little furry animal" , "Rabbit" .)