Gosh, the commanding officer has nothing on! (3)
I believe the answer is:
coo
'gosh' is the definition.
'commanding officer has nothing on' is the wordplay.
'commanding officer' becomes 'co' ().
'has' indicates putting letters inside.
'nothing on' becomes 'o' (I've seen this in other clues).
'co' enclosing 'o' is 'COO'.
'the' acts as a link.
(Other definitions for coo that I've seen before include "Dove's call" , "Murmur of a dove" , "it's surprising!" , "Pigeon call" , "(Of pigeon) murmur" .)