Lone Ranger's companion keeps gold in city (7)
I believe the answer is:
toronto
'city' is the definition.
(I know that Toronto is a provincial capital)
'lone ranger's companion keeps gold' is the wordplay.
'lone ranger's companion' becomes 'tonto' (I've seen this in another clue).
'keeps' is an insertion indicator.
'gold' becomes 'or' ('or' is the heraldic name for gold).
'tonto' placed around 'or' is 'TORONTO'.
'in' acts as a link.
(Other definitions for toronto that I've seen before include "Capital city of Ontario" , "Ontario's capital" , "major city" , "Canada's largest city" , "Transatlantic city" .)