Coppers heading off to arrest John in Vatican City, say (7)
I believe the answer is:
enclave
'vatican city say' is the definition.
(the Vatican is an enclave of Italy)
'coppers heading off to arrest john' is the wordplay.
'coppers' becomes 'pence' (I've seen this before).
'heading off' means to remove the first letter.
'to arrest' means one lot of letters goes inside another.
'john' becomes 'lav' (both can mean a toilet).
'pence' with its first letter taken away is 'ence'.
'ence' enclosing 'lav' is 'ENCLAVE'.
'in' is the link.
(Other definitions for enclave that I've seen before include "Distinct territory within another" , "Vatican for example" , "Small territory completely surrounded by another one" , "Part of country surrounded by another" , "Land surrounded by another country" .)