My own understanding is that since the story happened in New England, the capital referred to the place where the people in New England usually came. It's a vernacular word.
感谢大家参与讨论。现在我能查到的资料里比较符合语境和时代背景的是: In the nineteenth century Americans expressed approval by saying, “That’s capital!”(http://www.wingate-firms.com/thatscapital.html) 因为这种说法现在已经被遗弃,用今天的说法我觉得相当于 That's brilliant。至于电影中为什么说don't say capital,目前还不清楚