Largely woolly letter from abroad? (6)

I believe the answer is:

lambda

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'letter from abroad?' is the definition.
(letter of the Greek alphabet)

I can't explain the rest of the clue.

(Other definitions for lambda that I've seen before include "Greek letter L" , "part of the skull" , "Eleventh Greek letter" , "The 11th letter of the Greek alphabet" , "Teasing entertainer" .)

I've seen this clue in The Guardian.

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