Shoot a scene, initially in favourite city (8)
I believe the answer is:
budapest
'city' is the definition.
(Budapest is an example)
'shoot a scene initially in favourite' is the wordplay.
'shoot' becomes 'bud' (I've seen this before**).
'initially' suggests taking the first letters.
'in' is an insertion indicator.
'favourite' becomes 'pet' ('pet' can be a synonym of 'favourite').
The initial letter of 'scene' is 's'.
's' going inside 'pet' is 'pest'.
'bud'+'a'+'pest'='BUDAPEST'
(Other definitions for budapest that I've seen before include "Hungarian capital" , "European capital" , "Hungary's capital" , "Put beads in the European city" , "Ernest Laszlo's birthplace" .)