When you capture an enemy city that was their capital city, it still counts as being a capital for purposes of the contiguous territory and unrest. In the game I just started, I captured Magnar's capital of Imperium, and it has no unrest penalty for non-contiguous territory, though it is not connected to my own capital. I can only assume this is because it was a capital city at one point.
Magnar's only remaining city is now a capital as well, as it does not have any Contiguous Territory unrest issues.
This should be fairly easy to reproduce in-house, but I'll hold on to a save game just in case.
