Unusual change closes free city (10)
I believe the answer is:
copenhagen
'city' is the definition.
(Copenhagen is an example)
'unusual change closes free' is the wordplay.
'unusual' indicates anagramming the letters.
'closes' means one lot of letters goes inside another (inserted letters are closed or sealed in).
'free' becomes 'open' (similar in meaning).
'change' anagrammed gives 'chagen'.
'chagen' placed around 'open' is 'COPENHAGEN'.
(Other definitions for copenhagen that I've seen before include "Danish capital" , "Duke of 21's horse at Waterloo -- capital city" , "Capital - battle won by 15" , "below Wellington" , "European capital" .)