Capital on the Caspian (4)
I believe the answer is:
baku
'capital on the caspian' is the definition.
(I've seen this in another clue)
This is all the clue.
(Other definitions for baku that I've seen before include "Capital city of Azerbaijan" , "Caspian Sea port" , "Azerbaijan's capital" , "Capital of Azerbaijan on shore of Caspian Sea" .)