Letter about gas, Im perplexed (5)
I believe the answer is:
sigma
'letter' is the definition.
(sigma is a kind of letter)
'gas im perplexed' is the wordplay.
'perplexed' indicates an anagram.
'gas'+'im'='gasim'
'gasim' anagrammed gives 'SIGMA'.
'about' acts as a link.
(Other definitions for sigma that I've seen before include "The 18th letter of the Greek alphabet" , "Eighteenth letter of the Greek alphabet" , "character abroad" , "Letter from Athens" , "local opening in Salonika" .)