European city and province, say, in fiction (5)
I believe the answer is:
liege
'european city and province' is the definition.
(part of Belgium)
'say in fiction' is the wordplay.
'say' becomes 'eg'.
'in' means one lot of letters goes inside another.
'fiction' becomes 'lie' (I've seen this in other clues).
'eg' placed within 'lie' is 'LIEGE'.
(Other definitions for liege that I've seen before include "A person holding land under feudalism" , "Belgian city or feudal chief" , "Owing feudal allegiance" , "Belgian, French-speaking city" , "Large Belgian city" .)