The most common and most likely answer to this crossword clue is the 9 letter word COLOSSEUM
I've seen this crossword clue in The Times
C
O
L
O
S
S
E
U
M
Buddy explains!
The straight part
We know that "Souls come to play here" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case souls come to play here = colosseum.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 COLOSSEUM mean?
COLOSSEUM noun- A large theatre, cinema, or stadium.
- A large, often circular building, for indoor sporting events, exhibitions, concerts, etc.; arena.