Road through Liverpool an exit (4)
I believe the answer is:
lane
'road' is the definition.
(a lane is a small road)
'through liverpool an exit' is the wordplay.
'through' indicates the answer is hidden within the clue.
'LANE' is hidden in the letters of 'liverpool an exit'.
(Other definitions for lane that I've seen before include "Byroad" , "Small road" , "Single line of traffic" , "Byway" , "Footpath" .)