Has me in a tizzy, what a pity! (5)
I believe the answer is:
shame
'a pity' is the definition.
(I know that pity can be written as shame)
'has me in a tizzy' is the wordplay.
'in a tizzy' is an anagram indicator (being in a tizzy is being confused).
'has'+'me'='hasme'
'hasme' is an anagram of 'SHAME'.
'what' is the link.
(Other definitions for shame that I've seen before include "Painful emotion resulting from guilt" , "pity!" , "Feeling of humiliation" , "Disgrace, ignominy" , "disgraceful" .)