Cry of astonishment: finally, Pigs in Space (4)
I believe the answer is:
gasp
'cry of astonishment' is the definition.
(gasp can mean a shocked intake of breath)
'finally pigs in space' is the wordplay.
'finally' indicates one should take the final letters.
'in' indicates putting letters inside.
'space' becomes 'gap' (gap is a kind of space).
The final letter of 'pigs' is 's'.
's' placed within 'gap' is 'GASP'.
(Other definitions for gasp that I've seen before include "Pant" , "Inhale sharply with astonishment" , "Noisily breathe" , "Say "ah"" , "Catch one's breath in astonishment" .)