Woman with gun? Princess is holding one (5)
I believe the answer is:
annie
'woman' is the definition.
(woman's name)
'princess is holding one' is the wordplay.
'princess' becomes 'Anne' (Princess Anne, daughter of Queen Elizabeth).
'is holding' means one lot of letters goes inside another.
'one' becomes 'i' (Roman numeral).
'anne' enclosing 'i' is 'ANNIE'.
'with gun?' is the link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for annie that I've seen before include "- Get your Gun, musical" , "Musical about markswoman" , "1977 Broadway musical" , "girl instructed to get gun" , "Oakley, Laurie or Hall" .)