Oddly, wallaby annoys state capital (6)

I believe the answer is:

albany

'state capital' is the definition.
(Albany is an example)

'oddly wallaby annoys' is the wordplay.
'oddly' means one should take alternating letters.
'wallaby'+'annoys'='wallabyannoys'
The alternating letters of 'wallabyannoys' are 'ALBANY'.

(Other definitions for albany that I've seen before include "Husband of Goneri (Lear)" , "and a third" , "capital in USA" , "American capital" , "Capital of New Yorki state" .)

I've seen this clue in The Independent.

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