Continue playing a role somewhere in West London (5)
I believe the answer is:
acton
'somewhere in west london' is the definition.
'continue playing' is the wordplay.
'continue' becomes 'act' (I can't justify this - if you can you should believe this answer much more).
'playing' becomes 'on'.
'act'+'on'='ACTON'
'a role' acts as a link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for acton that I've seen before include "Part of the London borough of Ealing - British historian, d. 1902" , "English statesman" , "somewhere in London" , "Gladstone's adviser" , "District of West London" .)