Lieutenant initially entering HQ in Swiss city (5)
I believe the answer is:
basle
'swiss city' is the definition.
(I've seen this before)
'lieutenant initially entering hq' is the wordplay.
'initially' indicates taking the first letters.
'entering' means one lot of letters goes inside another.
'hq' becomes 'base' (I've seen this in other clues).
The initial letter of 'lieutenant' is 'l'.
'l' put within 'base' is 'BASLE'.
'in' is the link.
(Other definitions for basle that I've seen before include "Swiss city for sable?" , "Swiss city and canton" , "City of northwest Switzerland" , "Canton of NW Switzerland" , "European city" .)