10 across
Emperor
having
cameo
in
They
Shoot
Horses,
Don’t
They?
(4)
Emperor having cameo in They Shoot Horses, Don’t They? (4)
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The definition is at the beginning of the clue.
How the clue works
Emperor is the definition, pointing to the short-lived Roman ruler Otho. The answer is hidden ("having cameo in") within "shoOT HOrses", giving OTHO.