Hi @guyj
Basically you’re right about Sydney.
Since you cannot capture a City - but only a Territory that has a City placed in it - New South Wales is considered the “Capital Territory” of ANZAC.
When players refer to for example The Battle of Moscow - or The Battle of Berlin - the true reference is in reality the territories that these two Capitals are placed in: Russia and Germany.
In the House Rules section on this forum you’ll find a Global 1940 Game Report Thread - showing both pictures and Game Reports - for your inspiration. There you’ll see multiple examples for your question.