The intuitive leap in this puzzle is to realise we are being presented with abstract interpretations of capital letters (as clued by the title), specifically by being given their cross-sections at particular heights. Each capital letter can be identified from two or three cross-sections taken from different heights, and in the puzzle image we have sets of two or three cross-sections connected by different coloured lines.
The logical next step is to assume cross-sections connected by the same colour belong to the same letter, so for instance, the three cross-sections connected by red lines in the top image together imply the letter M (at the top and bottom, only the leftmost and rightmost points are covered by most capital M's, while a cross-section taken halfway between the top and middle will reveal four points covered). Furthermore, the colours of the connecting lines can reliably provide us with an ordering for the extracted letters, namely rainbow-ordering.
Doing this gives us five country names: MYANMAR, SCOTLAND, HAITI, JORDAN, SLOVENIA. The next step is to use the title/theme again: we want to take the capitals of these countries to give the list Naypyidaw, Edinburgh, Port-au-Prince, Amman, Ljubljana. The first letters (or capitals) of these spell out another country, NEPAL, implying we want to apply the same one more step and take its capital, Kathmandu.
|The answer is: kathmandu|