Deity in religious books with pale covering (5)
I believe the answer is:
wotan
'deity' is the definition.
(Wotan is an example)
'religious books with pale covering' is the wordplay.
'religious books' becomes 'OT' (Old Testament).
'with pale' becomes 'wan' (wan can mean pale or grey. I am not sure about the 'with' bit.).
'covering' is an insertion indicator.
'ot' placed inside 'wan' is 'WOTAN'.
'in' is the link.
(Other definitions for wotan that I've seen before include "Germanic god" , "Supreme god" , "Wagnerian head god" , "Another name for Odin" , "Teutonic god in the Ring Cycle" .)