Sad to say, Kansas is another cold state (6)
I believe the answer is:
alaska
'another cold state' is the definition.
'alaska' can be an answer for 'state' (Alaska is an example). I am not sure about the 'another cold' bit.
'sad to say kansas' is the wordplay.
'sad to say' becomes 'alas' ('alas' is said before reporting something sad).
'kansas' becomes 'ka' (I can't explain this - if you can you should believe this answer much more).
'alas'+'ka'='ALASKA'
'is' acts as a link.
Can you help me to learn more?
(Other definitions for alaska that I've seen before include "Northernmost US state" , "that may be baked? Not by the sun" , "Cold US state" , "Largest state of the USA" , "NW US state" .)