Unfortunately it’s a girl, they say (4)
I believe the answer is:
alas
'unfortunately' is the definition.
('alas' is used to express regret)
'a girl they say' is the wordplay.
'girl' becomes 'lass' (lass can informally mean a girl).
'they say' indicates a 'sounds like' (homophone) clue.
'lass' sounds like 'las'.
'a'+'las'='ALAS'
'it's' acts as a link.
(Other definitions for alas that I've seen before include "Interjection of sorrow" , "Exclamation of grief" , "express regret thus" , "Regretfully!" , "What a shame!" .)