*checks the code to be sure*
Nope, the capital isn't favoured for Protestantism, like all religions*. However for Protestantism, all cities in the same region as your capital do get a bonus. This includes your capital, but as the penalty of being the capital still applies other cities are still better favoured. Furthermore all cities outside Europe have a penalty for becoming the Protestand holy city.
*Some particular cities do have a bonus for becoming the holy city of a certain religion. (For example Parsa has a bonus for becoming the Zoroastrian holy city.) Some of these cities, like Parsa, are often capitals, which make it appear that the bonus is connected to the capital status. But it is not, it is tied to the city (location).