Nanny, say, has a go at this! (4)
I believe the answer is:
goat
'nanny say' is the definition.
(nanny is a kind of goat)
'a go at this' is the wordplay.
I cannot really see how this works, but
'a' is within the answer.
'go' is within the answer.
A single letter 't' remains which might be clued in a way I don't understand.
This explanation may well be incorrect...
'has' is the link.
Can you help me to learn more?
(Other definitions for goat that I've seen before include "foolish person" , "Capricorn animal" , "Butting nanny, perhaps?" , "lecherous sort" , "nanny, for example" .)