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Is it possible to switch capital? When i have conquered the last province of Transvaal, i wanna switch my capital to Pretoria.

Find the province ID for Pretoria (I think the cheat code showid works in Victoria too), then go to the saved game, locate the entry capital = # (where # is the ID for the current capital) for your nation and change # to the ID for Pretoria. Save and play on.
 
Or... Pick the event of Italian Capital, copy it. Change the name of the event, create a name and details code/number and put some names to the choices of the capitals (maybe you can select various cities to be the capital). Then, go to the event_text file and create a history for the details and a name for our event.
It's complex but if you find your way in the event commands and find the right files... it will seen pretty easy and these knowledge can add you a really nice fun customizing your Victoria game.