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' says the answer is hidden in the clue.
'ARENA' can be found hidden inside '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" .)