Warning about that cover (6)
I believe the answer is:
'warning' is the definition.
(I know that threat is a type of warning)
'about that cover' is the wordplay.
'about' becomes 're' ('re' means regarding or about).
'cover' means one lot of letters goes inside another.
're' inserted into 'that' is 'THREAT'.
(Other definitions for threat that I've seen before include "An intimidating warning" , "Hatter (anag)" , "Intimidatory words to exact compliance" , "A warning of harm to come" , "Endangerment" .)