In the past, there have been posts complaining that, when you conquer a core world, there would not be a capital and no ability to build one (by the way, if it is a capital city then it is capital with an "a", but if it is a capitol building, then it is a capitol with an "o").  However, I have just run across a different bug, perhaps as a result of an attempt to fix the above problem.  I conquered a core world that, as usual, did not have a capital, but this time the option to create a Core World Capital was available in the list of available improvements (screen snapshot below).  Unfortunately, I cannot drag-and-drop the Core World Capital onto an available region.

I have made a save file available on DropBox that you can use to recreate the issue.  It is saved here:

https://www.dropbox.com/s/50ufd7rpvcwk4ln/Capital%20Issue%20Under%201.12.369210.GC4Sav?dl=0

To recreate the issue, load the save then go the the core world named "Nerva I".  You should see what is in the screen snapshot below, then try to drag-and-drop the Core World Capital improvement onto either of the available regions.  You should not be able to successfully complete the operation.