Ultimately threatening chap from United Nations? He might shoot you (6)
I believe the answer is:
gunman
'he might shoot you' is the definition.
(I know that gunman often perform the action blast)
'ultimately threatening chap from united nations?' is the wordplay.
'ultimately' says to take the final letters.
'chap from united nations?' becomes 'unman' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
The last letter of 'threatening' is 'g'.
'g'+'unman'='GUNMAN'
(Other definitions for gunman that I've seen before include "Armed criminal" , "Sean O'Casey wrote 'The Shadow of a . . . . . .'" , "Sean O'Casey play 'Shadow of a . . . . . .'" , "As killer" , "Eg, sniper" .)