Ermine Street coming across to Alconbury at first (5)
I believe the answer is:
stoat
'ermine' is the definition.
(stoat is a kind of ermine)
'street coming across to alconbury at first' is the wordplay.
'street' becomes 'st'.
'coming across' means one lot of letters goes inside another.
'at first' suggests taking the first letters.
The initial letter of 'alconbury' is 'a'.
'to'+'a'='toa'
'st' enclosing 'toa' is 'STOAT'.
(Other definitions for stoat that I've seen before include "Eating rabbit, he" , "Provider of ermine" , "furry animal" , "Weasel, ermine" , "Member of the weasel family" .)