"Capra" could come from cape, referencing the cape Rose has. It could also come from Capra, the genus for goats, referencing Rose's Goatify ability. However, Queen Capra will never use her abilities.
Queen Capra is a fairly easy battle leader. She will never use her abilities, but will spawn masses of Rose armies at her aid. Try to dodge her minion Rose's attacks, Jinxes, and Goatifies and keep shooting Queen Capra. The most she can do is fly farther away from you, so simply just chase her down.