Name held by tragic hero — it ends with delta (5)
I believe the answer is:
rhone
'it ends with delta' is the definition.
(the river Rhone flows into a delta)
'name held by tragic hero' is the wordplay.
'name' becomes 'n' (common abbreviation e.g. on forms).
'held by' indicates putting letters inside.
'tragic' indicates an anagram.
'hero' is an anagram of 'rhoe'.
'n' placed into 'rhoe' is 'RHONE'.
(Other definitions for rhone that I've seen before include "River at Lyons" , "European river and glacier" , "One following long course" , "Swiss-French river" , "department" .)