Where the Olympics were held in twenty-one (3)
I believe the answer is:
Here is my best explanation:
'where the olympics were' is the definition.
(Olympic host city)
'held in twenty-one' is the wordplay.
'held in' indicates putting letters inside.
'twenty' becomes 'ro' (I can't justify this - if you can you should give a lot more credence to this answer).
'one' becomes 'i' (Roman numeral).
'ro' placed around 'i' is 'RIO'.
(Other definitions for rio that I've seen before include "Brazilian city and port", "place of carnival", "A Mexican river, may be grande", "Location of next Olympic Games, in short", "old capital", "Spanish word for river", "Manchester United player in South American city, in short?", "- Ferdinand, footballer", "... Grande, ... de Janeiro" and "Flying Down to -, Astaire, Rogers film".)