Capital of Kentucky's entering as well (5)
I believe the answer is:
tokyo
'capital' is the definition.
(capital of Japan)
'kentucky's entering as well' is the wordplay.
'kentucky' becomes 'ky' (abbreviation).
'entering' is an insertion indicator.
'as well' becomes 'too' (both can mean 'also').
'ky' put into 'too' is 'TOKYO'.
'of' acts as a link.
(Other definitions for tokyo that I've seen before include "Asian capital" , "Japanese capital" , "Capital of Japan" , "City once called Edo" , "Large Japanese city" .)