Poem, say, inscribed in cathedral (5)
I believe the answer is:
Here is my best explanation:
'poem' is the definition.
(elegy is a kind of poem)
'say inscribed in cathedral' is the subsidiary indication.
'say' becomes 'eg'.
'inscribed in' is an insertion indicator.
'cathedral' becomes 'ely' (ely is a cathedral city in cambridgeshire).
'eg' going inside 'ely' is 'elegy'.
(Other definitions for elegy that I've seen before include "Mournful song or poem", "Gray work", "Lamenting poem", "Poem of lament", "Poem penned beside church", "Poem for the departed", "Song of lament", "Mournful poem, lament", "Lines written by poet" and "A lament".)