State that object must lay damaged (5)
I believe the answer is:
italy
'state that object' is the definition.
'Italy' can be an answer for 'state' (Italy is an example). I am unsure of the rest of the definition.
'must lay damaged' is the wordplay.
'must' becomes 'it' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'damaged' indicates anagramming the letters.
'lay' is an anagram of 'aly'.
'it'+'aly'='ITALY'
Can you help me to learn more?
(Other definitions for italy that I've seen before include "Land of Tuscany and Umbria" , "Problematical (informal)" , "Southern European country" , "Land for laity, oddly" , "Latin country" .)