Gosh, one with nothing is in a state! (4)
I believe the answer is:
ohio
'a state' is the definition.
(Ohio is an example)
'gosh one with nothing' is the wordplay.
'gosh' becomes 'oh' (both are expressions of shock).
'one' becomes 'I' (Roman numeral).
'with nothing' becomes 'o' (I've seen this in other clues).
'oh'+'i'+'o'='OHIO'
'is in' is the link.
(Other definitions for ohio that I've seen before include "Midwest US state" , "Turning engine part" , "American state, capital Columbus" , "US state, capital Columbus" , "One of the American states" .)