How to identify the capital of a nation
Solution 1:
If you scroll down on the countries page of the eu4 wiki there is a table of coutries and their corresponding capitals.
Along with their tag, government, tech group, religion and culture.
Solution 2:
When you zoom in on their province you will see a little crown sticking out of the ground. Zoom in on London or Ile-de-France to see what I mean.