Horrified, in a way, by frightful hag (6)
I believe the answer is:
aghast
'horrified' is the definition.
(thesaurus)
'a way by frightful hag' is the wordplay.
'way' becomes 'st' (**).
'by' means one lot of letters go next to another.
'frightful' indicates an anagram (I've seen this in other clues).
'hag' is an anagram of 'gha'.
'st' put after 'gha' is 'ghast'.
'a'+'ghast'='AGHAST'
'in' is the link.
(Other definitions for aghast that I've seen before include "Struck with horror" , "struck with fear" , "Thunderstruck" , "Deeply shocked" , "'Appalled, dismayed (6)'" .)