Heartless pudding in the Sahara, say (6)
I believe the answer is:
desert
'the sahara say' is the definition.
(sahara is a kind of desert)
'heartless pudding' is the wordplay.
'heartless' suggests removing the centre.
'pudding' becomes 'dessert' (I've seen this before).
'dessert' with its centre taken out is 'DESERT'.
'in' acts as a link.
(Other definitions for desert that I've seen before include "Sandy wilderness" , "Walk out on" , "See 1" , "Arid area of sand" , "Abandon - barren region" .)