Nightclub in Roxburghe Avenue (6)
I believe the answer is:
heaven
'nightclub' is the definition.
(famous gay nightclub in London)
'in roxburghe avenue' is the wordplay.
'in' indicates a hidden word.
'HEAVEN' is hidden within 'roxburghe avenue'.
(Other definitions for heaven that I've seen before include "Elysium, Nirvana" , "Paradise, utopia" , "Happy place" , "State of happiness" , "State of bliss" .)