Nomads usually had no "capitals". However, they did control settlements for the purpose of facilitating economic exchanges. We know for instance that in the times of the Cumans there were Alanic cities along the Donetz (near today's Kharkiv) which were "owned" by (and named after) Cumanian (Polovtsian) warlords. Some centuries earlier Pecheneg warlords are also likely "owners" of some Lower Dnipro "ruined cities" mentioned by Constantine Porphyrogenitus in his De administrando imperio. These "cities" (archaeology sees them as walled fortresses with acropolises and agricultural hinterlands/ choras/) were not completely ruined until the time of the Avars and Bulgars, though their deterioration began under the Goths and accelerated under the Huns). Ptolemy mentions a few at:
http://penelope.uchicago.edu/Thayer/E/Gazetteer/Periods/Roman/_Texts/Ptolemy/3/5*.html
Cf. towns "along the Borysthenes river". The most interesting name is "Metropolis" not far to the east of Olbia. This is the best candidate for the "capital" of Farzoi and his dynasty. Just possibly (though this is speculative) it could later have become Hermanaric's "capital" as well (the "Danparstadt" of the sagas). Two cities further along (Sarum and Amadoka) resemble the names of the two Rosomon (=Alanic) "brothers" (Sarus and Ammius) who rebelled against Hermanaric (the "Golden Scythian") just before the Hunnic invasion of ca. 370.