Sports venue — in Red Square naturally (5)
I believe the answer is:
arena
'sports venue' is the definition.
(I've seen this in another clue)
'in red square naturally' is the wordplay.
'in' indicates a hidden word.
'ARENA' is hidden in the letters of 'red square naturally'.
(Other definitions for arena that I've seen before include "Where gladiatorial contests took place" , "Stadium - battlefield" , "Playing field or boxing ring" , "Place for public contests" , "Area in centre of sports stadium" .)