Sanctimonious? The odd prig has nothing on us! (5)
I believe the answer is:
pious
'sanctimonious?' is the definition.
('pious' can be similar in meaning to 'sanctimonious')
'odd prig has nothing on us' is the wordplay.
'odd' indicates alternate letters.
'has' says to put letters next to each other.
'nothing on' becomes 'o' (I've seen this in other clues).
The alternating letters of 'prig' are 'pi'.
'pi'+'o'+'us'='PIOUS'
'the' acts as a link.
(Other definitions for pious that I've seen before include "Good" , "Holier-than-thou" , "Saintly" , "Godly" , "Devoutly religious" .)