Sheik bust with nil capital (8)
I believe the answer is:
helsinki
'capital' is the definition.
(capital of Finland)
'sheik bust with nil' is the wordplay.
'bust with' indicates anagramming the letters.
'sheik' with its letters anagrammed with 'nil' can make 'HELSINKI'.
(Other definitions for helsinki that I've seen before include "European capital, venue for the 1952 Olympics" , "port" , "Is he link to a European city?" , "Capital of Finland" , "Nordic capital" .)