Sad poem, for example, in cathedral city (5)
I believe the answer is:
elegy
'sad poem' is the definition.
(I've seen this in another clue)
'example in cathedral city' is the wordplay.
'example' becomes 'eg' (short for 'exempli gratia', 'for example' in Latin).
'in' indicates putting letters inside.
'cathedral city' becomes 'Ely' (English city with a cathedral).
'eg' put inside 'ely' is 'ELEGY'.
'for' acts as a link.
(Other definitions for elegy that I've seen before include "Song of mourning" , "Plaintive poem" , "A sorrowful poem - Gray wrote a famous one" , "Lines written by poet" , "lines of regret" .)