Newgate, say, one leading hell (3,4)
I believe the answer is:
old nick
This clue is a double definition.
'newgate say' is the first definition.
(Newgate was an old prison or 'nick')
'one leading hell' is the second definition.
(name for the Devil)
(Other definitions for old nick that I've seen before include "alternative to deep blue sea" , "Newgate for instance" , "spirit of evil" , "The Evil One" , "Familiar name for the devil, ancient chap" .)