The most common and most likely answer to this crossword clue is the 5 plus 4 plus 4 letter word UNDER MILK WOOD
I've seen this crossword clue in The Times
U
N
D
E
R
M
I
L
K
W
O
O
D
More clues leading to the result UNDER MILK WOOD
Buddy explains!

The straight part
We know that "play" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case play = under milk wood.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.