A good question. Apparently Albany was well placed to make it the logical choice. However, NYC was the first capital of the USA. Read below:
The fur trade attracted settlers who founded a village called Beverwijck near Fort Orange. In 1664 the English took over and renamed the city as Albany, in honor of the then Duke of Albany, the future James II of England and James VII of Scotland. The city was officially chartered in 1686 under English rule. It became the capital of New York State in 1797 following the United States gaining independence in the American Revolutionary War. Albany is one of the oldest surviving settlements of the original British thirteen colonies, and the longest continuously chartered city in the United States. Its charter is possibly the longest-running instrument of municipal government in the Western Hemisphere.
During the late 18th century and throughout most of the 19th, Albany was a center of trade and transportation. It is located on the north end of the navigable Hudson River, was the original eastern terminus of the Erie Canal connecting to the Great Lakes, and was home to some of the earliest railroad systems in the world. Albany's main exports at the time were beer, lumber, published works, and ironworks. Beginning in 1810, Albany was one of the ten most populous cities in the United States, a distinction that it held until the 1860 census.
Albany is one of the first cities in the world to have installed public water mains, sewer lines, natural gas lines and electricity, infrastructure and utilities that attracted and supported substantial new industry to the city and surrounding area during the 19th century.
https://en.wikipedia.org/wiki/Albany,_New_York
New York City was the first capital of the United States after the Constitution was ratified in 1788. On April 30, 1789, George Washington was inaugurated as the nation's first president at Federal Hall, located on Wall Street.
http://www.history.com/topics/us-states/new-york
