Unfortunately King Arthur's first state (6)
I believe the answer is:
alaska
'state' is the definition.
(Alaska is a US state)
'unfortunately king arthur's first' is the wordplay.
'unfortunately' becomes 'alas' ('alas' is used to express regret).
'king' becomes 'K' (abbreviation for king in chess).
'arthur's first' becomes 'a' (1st letter of 'arthur').
'alas'+'k'+'a'='ALASKA'
(Other definitions for alaska that I've seen before include "American state, capital Juneau" , "Most northerly state of USA" , "that may be baked? Not by the sun" , "Most northerly US state" , "Separate state" .)