Which letters of the alphabet are not the first letters of country capital cities?

The only letters that do not start the name of a capital city of a sovereign state are E and X.

https://en.wikipedia.org/wiki/List_of_national_capitals_in_alphabetical_order

Had Scotland voted for independence then it would just be X.

https://en.wikipedia.org/wiki/List_of_national_capitals_in_alphabetical_order

A complicating factor in the above list in English is the fact that these cities are often named in other languages and alphabets. Notably, the capital of Armenia, Yerevan, is also transliterated sometimes in English as Erevan, as it is in French: http://fr.wikipedia.org/wiki/Erevan, approximating its spelling and pronunciation in its original Armenian alphabet. That just leaves X, in English...