Tragic figure not heading to French city in initial stages (5,2)
I believe the answer is:
early on
'in initial stages' is the definition.
'tragic figure not heading to french city' is the wordplay.
'tragic figure' becomes 'lear' (from Shakespeare's King Lear).
'not heading' means to remove the first letter (remove the letter which begins or 'heads' the word).
'to french city' becomes 'lyon' (I've seen this before).
'lear' with its first letter removed is 'ear'.
'ear'+'lyon'='EARLY ON'
(Other definitions for early on that I've seen before include "Before much time has elapsed" , "right at the start" , "not long after starting" , "before much time passes" , "near the start" .)