Unionist with stovepipe, say, going round western state (4)
I believe the answer is:
utah
'western state' is the definition.
(western US state)
'unionist with stovepipe say going round' is the wordplay.
'unionist' becomes 'u' (abbreviation as in Democratic Unionist Party).
'with' says to put letters next to each other.
'stovepipe say' becomes 'hat' (stovepipe is a kind of hat).
'going round' says the letters should be written backwards.
'hat' reversed gives 'tah'.
'u'+'tah'='UTAH'
(Other definitions for utah that I've seen before include "US state settled by the Mormons" , "Mormons are found here in a hut" , "Brigham Young state" , "State, Mormon settlement" , "State founded by Mormon" .)