Part of Europe where one has to live on air, maybe (6)
I believe the answer is:
iberia
'part of europe' is the definition.
(peninsula including Spain and Portugal)
'one has to live on air maybe' is the wordplay.
'one' becomes 'i' (Roman numeral).
'has' says to put letters next to each other.
'to live' becomes 'be' ('be' can be a synonym of 'live').
'on' says to put letters next to each other.
'maybe' indicates an anagram.
'air' is an anagram of 'ria'.
'i'+'be'+'ria'='IBERIA'
'where' is the link.
(Other definitions for iberia that I've seen before include "Spain and Portugal - airline" , "Where Juan possibly lives" , "SW European peninsula" , "Spain's national flag-carrying airline" , "The peninsula incorporating Spain and Portugal" .)