Stroll in capital, say (4)
I believe the answer is:
roam
'stroll' is the definition.
(I've seen this in another clue)
'capital say' is the wordplay.
'capital' becomes 'rome' (capital of Italy).
'say' shows a homophone (sound like).
'rome' sounds like 'ROAM'.
'in' acts as a link.
(Other definitions for roam that I've seen before include "Walk without a specific destination" , "Move about aimlessly" , "Wander about aimlessly" , "Travel widely" , "Prowl" .)