City of Nassau's tiny (6)
I believe the answer is:
austin
'city' is the definition.
(I know that Austin is a state capital)
'of nassau's tiny' is the wordplay.
'of' says the answer is hidden in the clue.
'AUSTIN' can be found hidden inside 'nassaus tiny'.
(Other definitions for austin that I've seen before include "The capital of Texas (6)" , "Capital city of Texas" , "State capital of Texas" , "Texan city" , "US state capital - old English car manufacturer" .)