Pray tell me, lady (3,5)

I believe the answer is:

say grace

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'pray' is the definition.
(thesaurus)

'tell me lady' is the wordplay.
I cannot quite understand how this works, but
'tell' could be 'say' (synonyms) and 'say' is found in the answer.
'lady' could be 'grace' and 'grace' is found in the answer.
This accounts for all the letters.
This explanation may well be incorrect...

Can you help me to learn more?

I've seen this clue in the Evening Standard.

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