The most common and most likely answer to this crossword clue is the 3 letter word SAC
I've seen this crossword clue in Financial Times
S
A
C
More clues leading to the result SAC
Buddy explains!

The straight part
We know that "Bag" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case bag = sac.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does SAC mean?
SAC noun- A bag or pouch inside a plant or animal that typically contains a fluid.
- (games) A sacrifice.
- (games) To sacrifice.
- The privilege, formerly enjoyed by the lord of a manor, of holding courts, trying causes, and imposing fines.