Way out of Llanelly (4)
I believe the answer is:
lane
'way' is the definition.
(lane is a kind of way)
'out of llanelly' is the wordplay.
'out of' indicates a hidden word.
'LANE' is hidden within 'llanelly'.
(Other definitions for lane that I've seen before include "Minor road" , "Narrow rural road" , "Byroad" , "Narrow country road" , "Rough path" .)