Window can be a nuisance, say (4)
I believe the answer is:
pane
'window' is the definition.
(thesaurus)
'a nuisance say' is the wordplay.
'a nuisance' becomes 'pain' ('pain' can be a synonym of 'nuisance').
'say' shows a homophone (sound like).
'pain' sounds like 'PANE'.
'can be' is the link.
(Other definitions for pane that I've seen before include "Panel of glass" , "Single sheet of glass in a window" , "Piece of glass in window" .)