some of the moons around jupiter and saturn are as far away as the earth is from the sun
are you saying that those two planets have more pull than the sun
at the moment i don't know of any moons with their own moons
i was thinking moonlet but it lacks something
S/1999 J 1 (Callirrhoe)
The seventeenth and outermost moon; S/1999 J 1 is the smallest-known moon orbiting a major planet. This moon is 3 miles (5 km) in diameter and has an irregular orbit roughly 15 million miles (24 million km) from Jupiter. It orbits Jupiter in 774 (Earth) days and is in a retrograde orbit (orbiting opposite to the direction of Jupiter). It was discovered by Robert S. McMillan et al (at the Spacewatch program at the University of Arizona ) in 2000.
Earth — Distance From Sun: 93,000,000 Miles
(both from google)
The earth is ~6x further away from the sun than jupiter's most distant moon is from jupiter. There are also the size and speed differences that would help. I'm sure someone will come along and explain the whole thing, but I can't immagine a moon capturing something without the planet capturing it instead.