One month in a thousand, indeed! (3)
I believe the answer is:
may
'one month' is the definition.
(May is an example)
'thousand indeed' is the wordplay.
'thousand' becomes 'm' (Roman numeral for a thousand).
'indeed' becomes 'ay' ('ay' and 'aye' can mean yes).
'm'+'ay'='MAY'
'in a' is the link.
(Other definitions for may that I've seen before include "The Darling Buds of - (H. E. Bates)" , "Might" , "Hawthorn blossom" , "Time" , "Spring" .)