Has me wrong, what a pity! (5)
I believe the answer is:
shame
'what a pity' is the definition.
(I've seen this before)
'has me wrong' is the wordplay.
'wrong' indicates an anagram.
'has'+'me'='hasme'
'hasme' is an anagram of 'SHAME'.
(Other definitions for shame that I've seen before include "scandal" , "Humiliation; dishonour" , "Discredit - ignominy" , "Disgrace - Salman Rushdie novel" , "Disgrace, intense regret" .)