Coo! A Lord is travelling in state! (8)
I believe the answer is:
colorado
'state' is the definition.
(Colorado is an example)
'coo a lord is travelling' is the wordplay.
'is travelling' indicates anagramming the letters.
'coo'+'a'+'lord'='cooalord'
'cooalord' anagrammed gives 'COLORADO'.
'in' acts as a link.
(Other definitions for colorado that I've seen before include "US state has a cool road, oddly" , "US state, W. of Kansas" , "US state (with a beetle)" , "Denver's state" , "American river" .)