Show the key is in the wrong door (5)
I believe the answer is:
rodeo
'show' is the definition.
(rodeo is a kind of show)
'the key is in the wrong door' is the wordplay.
'the key' becomes 'e' (I've seen this in other clues).
'is in' is an insertion indicator.
'the wrong' is an anagram indicator.
'door' with letters rearranged gives 'rodo'.
'e' placed inside 'rodo' is 'RODEO'.
(Other definitions for rodeo that I've seen before include "Horse sporting event for cowboys" , "show with mounting excitement" , "At which cowboys show their skills" , "Horse-riding competition for cowboys" , "skilful exhibition?" .)