Elegy awful, Gray initially admitted (5)
I believe the answer is:
dirge
'elegy' is the definition.
(I've seen this before)
'awful gray initially admitted' is the wordplay.
'awful' becomes 'dire' (synonyms).
'initially' indicates taking the first letters.
'admitted' means one lot of letters goes inside another.
The initial letter of 'gray' is 'g'.
'dire' enclosing 'g' is 'DIRGE'.
(Other definitions for dirge that I've seen before include "Funeral hymn" , "Mournful chant" , "Funeral music" , "No joy in this music" , "Mournful music" .)