Last bun I baked in the city (8)
I believe the answer is:
istanbul
'the city' is the definition.
(Istanbul is an example)
'last bun i baked' is the wordplay.
'baked' indicates anagramming the letters.
'last'+'bun'+'i'='lastbuni'
'lastbuni' is an anagram of 'ISTANBUL'.
'in' is the link.
(Other definitions for istanbul that I've seen before include "Modern Byzantium" , "City - lab units (anag)" , "foreign city" , "Nail bust in the Turkish city" , "City of Turkey" .)