Knight and waif flayed in Middle Eastern city (5)
I believe the answer is:
dubai
'middle eastern city' is the definition.
(city in the United Arab Emirates)
'knight and waif flayed' is the wordplay.
'knight' becomes 'dub' (to dub can mean to knight someone).
'and' is a charade indicator (letters next to each other).
'flayed' means to look at the middle letters (to flay something is to take its skin off).
The central letters of 'waif' are 'ai'.
'dub'+'ai'='DUBAI'
'in' acts as a link.
(Other definitions for dubai that I've seen before include "Arab city" , "Port city on the Persian Gulf" , "capital and port" , "Gulf sheikhdom" , "Middle East destination" .)