Cap put on say, turning icy (5)
I believe the answer is:
gelid
'icy' is the definition.
('gelid' can be a synonym of 'icy')
'cap put on say turning' is the wordplay.
'cap' becomes 'lid' (I've seen this before).
'put on' means one lot of letters go next to another.
'say' becomes 'eg'.
'turning' shows that the letters should be reversed in order.
'eg' backwards is 'ge'.
'lid' after 'ge' is 'GELID'.
(Other definitions for gelid that I've seen before include "Glacial" , "Extremely cold, frozen" , "Icy cold - glide (anag)" .)