Leicester cop working for the Gestapo, say (6,6)
I believe the answer is:
secret police
'the gestapo say' is the definition.
(gestapo is a kind of secret police)
'leicester cop working' is the wordplay.
'working' indicates anagramming the letters.
'leicester'+'cop'='leicestercop'
'leicestercop' is an anagram of 'SECRET POLICE'.
'for' acts as a link.
(Other definitions for secret police that I've seen before include "NKVD, perhaps" , "Anti-subversion force" , "Undercover lawmen" .)