Window that's 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' indicates a 'sounds like' (homophone) clue.
'pain' is a homophone of 'PANE'.
'that's a' is the 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" .)