The most common and most likely answer to this crossword clue is the 3 letter word LEU
I've seen this crossword clue in The Guardian
L
E
U
Buddy explains!

The straight part
We know that "European capital" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case european capital = leu.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does LEU mean?
LEU noun- The unit of currency of Romania, equal to one hundred bani.
- The unit of currency of Moldova, equal to one hundred bani.