The most common and most likely answer to this crossword clue is the 5 letter word PARSI
I've seen this crossword clue in Financial Times
P
A
R
S
I
More clues leading to the result PARSI
- Knock over Sikh, half-cut Indian believer
- Indian believer is turning up in European capital
- Zoroastrian is sent up in European capital
- Asian couple at back of romantic place messing around
- Zoroastrian play Russia regularly censored
- Iranian refugee son arrives early in European city
- Religious believer in French city a bit confused at the end
- Tata, for one, is returning in Paris
- Average is raised by Indian community
- . For example, Tata's average is picking up
Buddy explains!

The straight part
We know that "Zoroastrian" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case zoroastrian = parsi.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.