Pshaw! Bad weather in country (7)
I believe the answer is:
bahrain
'country' is the definition.
(Bahrain is an example)
'pshaw bad weather' is the wordplay.
'pshaw' becomes 'bah' (both are expressions of contempt or disapproval).
'bad weather' becomes 'rain' (I've seen this before).
'bah'+'rain'='BAHRAIN'
'in' is the link.
(Other definitions for bahrain that I've seen before include "kingdom in Middle East" , "Arab state" , "Gulf state" , "Arab sheikhdom" , "Gulf region?" .)