Vexation from a canny one when dancing (9)
I believe the answer is:
annoyance
'vexation' is the definition.
('annoyance' can be a synonym of 'vexation')
'a canny one when dancing' is the wordplay.
'when dancing' is an anagram indicator (I've seen this in other clues).
'canny'+'one'='cannyone'
'cannyone' is an anagram of 'nnoyance'.
'a'+'nnoyance'='ANNOYANCE'
'from' is the link.
(Other definitions for annoyance that I've seen before include "Pain" , "Nuisance" , "(Anger at) harassment" , "pest" , "Source of anger" .)