'Nay,' said Dobbin! (5)
I believe the answer is:
neigh
'dobbin' is the definition.
Although both the answer and definition are singular nouns, I cannot see how they can define each other.
'nay said' is the wordplay.
'said' indicates a 'sounds like' (homophone) clue.
'nay' is a homophone of 'NEIGH'.
Can you help me to learn more?
(Other definitions for neigh that I've seen before include "one made by Bucephalus?" , "beastly noise" , "Horse's sound" , "Animal noise (expressing 3?)" , "Comment from Arab" .)