Lose an opportunity, say, through bad luck (9)
I believe the answer is:
mischance
'through bad luck' is the definition.
'mischance' can be an answer for 'luck' (mischance is a kind of luck). I'm not certain of the 'through bad' bit.
'lose an opportunity' is the wordplay.
'lose an' becomes 'mis' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'opportunity' becomes 'chance' (synonyms).
'mis'+'chance'='MISCHANCE'
'say' is the link.
Can you help me to learn more?
(Other definitions for mischance that I've seen before include "Ill fortune" , "Unfortunate business" , "Unfortunate occurrence" , "Bad luck" , "Misadventure, mishap" .)