Window is a nuisance, say (4)
I believe the answer is:
pane
'window' is the definition.
(thesaurus)
'nuisance say' is the wordplay.
'nuisance' becomes 'pain' (synonyms).
'say' shows a homophone (sound like).
'pain' sounds like 'PANE'.
'is a' acts as a link.
(Other definitions for pane that I've seen before include "Single sheet of glass in a window" , "Panel of glass" , "Piece of glass in window" .)