State of shock yours truly’s in (5)
I believe the answer is:
maine
'state' is the definition.
(US state)
'shock yours truly's in' is the wordplay.
'shock' becomes 'mane' (both can mean a mass of hair).
'yours truly' becomes 'i'.
'in' is an insertion indicator.
'mane' going around 'i' is 'MAINE'.
'of' is the link.
(Other definitions for maine that I've seen before include "American state, capital Augusta" , "New England state" , "North-easterly US state" , "state of USA" , "US state, capital Augusta (5)" .)