Musical in Milan, hot dancing (8)
I believe the answer is:
hamilton
'musical' is the definition.
'milan hot dancing' is the wordplay.
'dancing' indicates anagramming the letters.
'milan'+'hot'='milanhot'
'milanhot' anagrammed gives 'HAMILTON'.
'in' is the link.
(Other definitions for hamilton that I've seen before include "in Scotland or Bermuda" , "Lady . . . . . . . . was Lord Nelson's lover" , "F1 champion" , "Emma -, Nelson's mistress" , "lover of Nelson" .)