You may play it, but don't let little Josephine (5)
I believe the answer is:
banjo
'you may play it' is the definition.
I can't tell whether this definition defines the answer.
'don't let little josephine' is the wordplay.
'don't let little' becomes 'ban' (I can't explain this - if you can you should give a lot more credence to this answer).
'josephine' becomes 'jo' (I've seen this in other clues).
'ban'+'jo'='BANJO'
'but' acts as a link.
Can you help me to learn more?
(Other definitions for banjo that I've seen before include "Five-stringed musical instrument" , "strumming instrument" , "Instrument with long neck and round body" , "Relative of the guitar" , "String instrument" .)