Lover of capital overjoyed at first (5)
I believe the answer is:
romeo
'lover' is the definition.
(I know that Romeo is a type of lover)
'capital overjoyed at first' is the wordplay.
'capital' becomes 'rome' (capital of Italy).
'at first' suggests taking the first letters.
The initial letter of 'overjoyed' is 'o'.
'rome'+'o'='ROMEO'
'of' is the link.
(Other definitions for romeo that I've seen before include "his tragedy one was late?" , "Dashing lover" , "Shakespearean hero" , "Peripheral figure" , "Star-crossed lover" .)