Capital made of one "very naughty boy” holding nothing back (7)
I believe the answer is:
nairobi
'capital' is the definition.
(capital of Kenya)
'one very naughty boy holding nothing back' is the wordplay.
'one' becomes 'i' (Roman numeral).
'very naughty boy' becomes 'Brian' (reference to Monty Python's Life of Brian).
'holding' indicates putting letters inside.
'nothing' becomes 'O' (O resembles 0).
'back' says the letters should be written backwards.
'i'+'brian'='ibrian'
'ibrian' going around 'o' is 'iborian'.
'iborian' in reverse letter order is 'NAIROBI'.
'made of' is the link.
(Other definitions for nairobi that I've seen before include "Kenya's capital city" , "The capital of Kenya (7)" , "African city" , "I, a robin (anag) - city" , "Flat round object" .)