Regrettably return machine gun in this US state (6)
I believe the answer is:
alaska
'this us state' is the definition.
(I've seen this before)
'regrettably return machine gun' is the wordplay.
'regrettably' becomes 'alas' ('alas' is said before regrettable news).
'return' says the letters should be written backwards.
'machine gun' becomes 'ak' (short for ak-47).
'ak' reversed gives 'ka'.
'alas'+'ka'='ALASKA'
'in' is the link.
(Other definitions for alaska that I've seen before include "Anchorage location" , "Anchorage is the largest city" , "Forty-ninth US state" , "Separate state" , "that may be baked? Not by the sun" .)