Country, say, may stop it, finally (5)
I believe the answer is:
egypt
'country' is the definition.
(Egypt is a country)
'say may stop it finally' is the wordplay.
'say' becomes 'eg' (both can mean 'for example').
'finally' says to take the final letters.
The final letters of 'may stop it' are 'ypt'.
'eg'+'ypt'='EGYPT'
(Other definitions for egypt that I've seen before include "Republic of North Africa" , "Site of Sinai desert" , "Part of Africa" , "Land of the pharaohs" , "African country, site of an ancient civilization" .)