Mysterious travellers returned from occupying country (4)
I believe the answer is:
ufos
'mysterious travellers' is the definition.
(unidentified flying objects)
'returned from occupying country' is the wordplay.
'returned from' becomes 'fo' (I can't justify this - if you can you should believe this answer much more).
'occupying' indicates putting letters inside.
'country' becomes 'U.S.' (U.S. is an example).
'fo' going within 'us' is 'UFOS'.
(Other definitions for ufos that I've seen before include "Initially, formal flying saucers" , "Mysterious phenomena" , "Supposed alien craft" , "Mysterious objects in sky" , "Strange aerial objects" .)