Incoming links: Kaifeng
"The Capital" is what now is Kaifeng in Shandong, and it used to be the capital during the (Northern) Song dynasty.
In the novel it is simply often simply called as 东京 (capital of the East), which is now highly ambiguous term that can indicate several different historical capitals! Notably it is the name of modern tokyo.
Literally: "capital of the East". Note that the Chinese term 东京 (dong1 jing1) is highly ambiguous in historical contexts, as many places throughout history have been known as "the capital of the East".Of of those other places is the Kaifeng, which is the Capital in Water Margin and in real life during the Song dynasty. The novel is also likely highly popular in Japan apparently as well BTW, e.g. it merited a well funded adaptation: The Water Margin.