Alliance including one new country (6)
I believe the answer is:
Here is my best explanation:
'country' is the definition.
('nation' can be a synonym of 'country')
'alliance including one new' is the wordplay.
'alliance' becomes 'nato' (NATO is an example**).
'including' indicates putting letters inside.
'one' becomes 'i' (Roman numeral).
'new' becomes 'n'.
'nato' placed around 'i' is 'natio'.