Elsweyr is a confederation of long-feuding old kingdoms (Anequina and Pellitine) so I'm not sure they actually have a proper capital. Anequina (north) is a desertic area where people are mostly nomads when Pellitine (south) is more like a jungle, with cities and more sedentary people.

On the Unofficial Elder Scrolls Pages and many maps Torval is shown as a capital and Dune is possibly the most important city of Anequina.

Thank you for your answer. :)