Retail event supported by millions in state capital (5)
I believe the answer is:
salem
'state capital' is the definition.
(state capital of Oregon)
'retail event supported by millions' is the wordplay.
'retail event' becomes 'sale' (I've seen this in another clue).
'supported by' is a charade indicator (letters next to each other) (in a down clue, some letters hold up others).
'millions' becomes 'm' (abbreviation).
'sale'+'m'='SALEM'
'in' is the link.
(Other definitions for salem that I've seen before include "Place with allegedly wicked females" , "Massachusetts city, scene of witch hunt" , "Source of witch-hunt" , "Massachusetts city associated with the execution of witches" , "Witches' home" .)