Conservative conned country (4)
I believe the answer is:
chad
'country' is the definition.
(I know that Chad is a country)
'conservative conned' is the wordplay.
'conservative' becomes 'C' (UK political abbreviation).
'conned' becomes 'had' (a conned person might say 'I've been had!').
'c'+'had'='CHAD'
(Other definitions for chad that I've seen before include "foreign land" , "Large, shallow lake in north central Africa" , "West African country" , "Fish" , "article put out by Punch?" .)