4 down
Lulu’s
half
escaping
depression
in
the
old
city
(6)
Lulu’s half escaping depression in the old city (6)
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The definition is at the end of the clue.
How the clue works
Look at old city at the end — that's your definition, pointing you to the ancient Egyptian and Greek city. Now for the wordplay: start with THE BLUES (depression), then "Lulu's half escaping" tells you to remove LU (the first half of "Lulu") from it, and what you're left with is your answer.