Unfunded, missing new part of comedy show (4)
I believe the answer is:
skit
'comedy show' is the definition.
(a skit is a short comedy sketch)
'unfunded missing new' is the wordplay.
'unfunded' becomes 'skint' (both can mean having no money).
'missing' indicates named letters should be taken away.
'new' becomes 'n' (common abbreviation eg NT for New Testament).
'skint' with 'n' taken out is 'SKIT'.
'part of' is the link.
(Other definitions for skit that I've seen before include "Comic routine" , "Comedy routine" , "Funny scene" , "Parodic sketch" , "take-off" .)