Second lady went off in a gloomy way (5)
I believe the answer is:
sadly
'in a gloomy way' is the definition.
(I've seen this in another clue)
'second lady went off' is the wordplay.
'second' becomes 's' (common abbreviation).
'went off' indicates an anagram.
'lady' anagrammed gives 'adly'.
's'+'adly'='SADLY'
(Other definitions for sadly that I've seen before include "Alas" , "Lamentably, unfortunately" , "Unhappily" , "Mournfully" , "With sorrow" .)