Capital of Kentucky put in as well (5)
I believe the answer is:
tokyo
'capital' is the definition.
(Tokyo is an example)
'kentucky put in as well' is the wordplay.
'kentucky' becomes 'ky'.
'put in' is an insertion indicator.
'as well' becomes 'too' ('too' can be a synonym of 'as well').
'ky' going within 'too' is 'TOKYO'.
'of' is the link.
(Other definitions for tokyo that I've seen before include "Asian capital" , "Edo's modern name" , "This covers an Asian city" , "City once called Edo" , "Capital of Japan" .)