Bit of gloomy thought in allegory (4)
I believe the answer is:
myth
'allegory' is the definition.
(thesaurus)
'bit of gloomy thought in' is the wordplay.
'bit of' says the answer is hidden in the clue.
'MYTH' can be found hidden inside 'gloomy thought in'.
(Other definitions for myth that I've seen before include "Illusion" , "A widely held but false belief" , "Legend; fable" , "(Urban?) story" , "false interpretation?" .)