Country where father is caught in immoral action (5)
I believe the answer is:
spain
'country' is the definition.
(I know that Spain is a European country)
'father is caught in immoral action' is the wordplay.
'father' becomes 'pa' (pa can mean dad or father).
'is caught in' is an insertion indicator.
'immoral action' becomes 'sin' (I've seen this before).
'pa' put within 'sin' is 'SPAIN'.
'where' acts as a link.
(Other definitions for spain that I've seen before include "Pains badly to be in the country" , "European country" , "Iberian country" , "Catholic country" , "part of Europe" .)