Terrible key included for sad song (5)
I believe the answer is:
dirge
'sad song' is the definition.
(I've seen this before)
'terrible key included' is the wordplay.
'terrible' becomes 'dire' (synonyms).
'key' becomes 'g' (musical key).
'included' means one lot of letters goes inside another.
'dire' enclosing 'g' is 'DIRGE'.
'for' acts as a link.
(Other definitions for dirge that I've seen before include "feature of funeral" , "Sombre music" , "Funeral music" , "Funereal music" , "Lamentation" .)