Star, say, entering Virginia (4)
I believe the answer is:
vega
'star' is the definition.
(Vega is an example)
'say entering virginia' is the wordplay.
'say' becomes 'eg'.
'entering' is an insertion indicator.
'virginia' becomes 'va' (US state abbreviation).
'eg' going inside 'va' is 'VEGA'.
(Other definitions for vega that I've seen before include "heavenly body" , "Brightest star of constellation Lyra" , "First magnitude star" , "Gave turn to a star" , "Bright star of constellation Lyra" .)