Conservative to inquire about wine vessel (4)
I believe the answer is:
cask
'wine vessel' is the definition.
(I've seen this in another clue)
'conservative to inquire' is the wordplay.
'conservative' becomes 'C' (UK political abbreviation).
'to inquire' becomes 'ask' ('ask' can be a synonym of 'inquire').
'c'+'ask'='CASK'
'about' acts as a link.
(Other definitions for cask that I've seen before include "Liquor container" , "Large barrel" , "large volume of beer" , "Measure" , "Keg" .)