European Macbeth for example - that's gas (6)
I believe the answer is:
ethane
'that's gas' is the definition.
(ethane is a gas)
'european macbeth' is the wordplay.
'european' becomes 'e' (abbreviation e.g. EU).
'macbeth' becomes 'thane' (Shakespeare's Macbeth was Thane of Glamis).
'e'+'thane'='ETHANE'
'for example' is the link.
(Other definitions for ethane that I've seen before include "Flammable hydrocarbon" , "Chemical" , "Athene (anag.); a colourless gas" , "Compound" , "Fuel" .)