Cover nothing in the swimming pool (4)
I believe the answer is:
'the swimming pool' is the definition.
(lido is a type of open-air swimming pool)
'cover nothing' is the wordplay.
'cover' becomes 'lid' (lid is a kind of cover).
'nothing' becomes 'o' (O resembles 0).
'in' is the link.
(Other definitions for lido that I've seen before include "Aquatic leisure centre" , "Public bathing beach" , "---- di Jesolo, Italian Adriatic resort" , "Swim here" , "Swimming bath" .)