Deep Blue is following the Sicilian opening in Palermo (5)
I believe the answer is:
lapis
'sicilian opening in palermo' is the definition.
The definition suggests a singular noun which matches the answer.
'deep blue is following' is the wordplay.
'deep blue' becomes 'lap' (I can't justify this - if you can you should give a lot more credence to this answer).
'following' means one lot of letters go next to another.
'lap'+'is'='LAPIS'
'the' acts as a link.
Can you help me to learn more?
(Other definitions for lapis that I've seen before include "stone" , "- - lazuli" .)