Conservative caught in European caper (5)
I believe the answer is:
dance
'caper' is the definition.
(I've seen this in other clues)
'conservative caught in european' is the wordplay.
'conservative' becomes 'C' (UK political abbreviation).
'caught in' indicates putting letters inside.
'european' becomes 'dane' (someone from Denmark).
'c' going within 'dane' is 'DANCE'.
(Other definitions for dance that I've seen before include "Move rhythmically" , "Waltz, say" , "Bop" , "Caned (anag.)" , "Ball; hop" .)