Requiem, for example, held in cathedral city (5)
I believe the answer is:
elegy
'requiem' is the definition.
(thesaurus)
'example held in cathedral city' is the wordplay.
'example' becomes 'eg'.
'held in' means one lot of letters goes inside another.
'cathedral city' becomes 'ely' (I've seen this before).
'eg' placed inside 'ely' is 'ELEGY'.
'for' acts as a link.
(Other definitions for elegy that I've seen before include "Milton's Lycidas?" , "Mournful work" , "Type of poem" , "Song of lamentation" , "Mournful verse" .)