Union thanks first head of state (4)
I believe the answer is:
utah
'state' is the definition.
(Utah is a US state)
'union thanks first head' is the wordplay.
'union' becomes 'U' (common abbreviation as in 'Trades Union Congress').
'thanks' becomes 'ta' (UK informal version of 'thank you').
'first head' becomes 'h' (1st letter of 'head').
'u'+'ta'+'h'='UTAH'
'of' acts as a link.
(Other definitions for utah that I've seen before include "Brigham Young's state" , "US state settled by the Mormons" , "Great Salt Lake state" , "American location" , "Mormon US state" .)