End in Indian state, heading for Lucknow (4)
I believe the answer is:
goal
'end' is the definition.
('goal' can be a synonym of 'end')
'indian state heading for lucknow' is the wordplay.
'indian state' becomes 'goa' (I've seen this before**).
'heading for' suggests taking the first letters.
The initial letter of 'lucknow' is 'l'.
'goa'+'l'='GOAL'
'in' is the link.
(Other definitions for goal that I've seen before include "Something to be achieved" , "Aim - two posts, a crossbar and a net" , "A score in soccer" , "Aim, desired result" , "could be worth 3 points" .)