Commanding Officer has trapped wind in foreign capital (5)
I believe the answer is:
cairo
'foreign capital' is the definition.
'cairo' can be an answer for 'capital' (capital of Egypt). I am not certain of the 'foreign' bit.
'commanding officer has trapped wind' is the wordplay.
'commanding officer' becomes 'co'.
'has trapped' means one lot of letters goes inside another.
'wind' becomes 'air' (air is a kind of wind).
'co' placed around 'air' is 'CAIRO'.
'in' is the link.
Can you help me to learn more?
(Other definitions for cairo that I've seen before include "African city" , "Egyptian capital" , "North African capital" , "City near the Nile delta" , "Port upstream from the Nile delta" .)