"Baghdad is the capital of Iraq."
Translation:بَغْداد عاصِمة اَلْعِراق.
Baghdad, originally, is not an Arabic name, and probably this is why it doesn't get AL. Other cities in Iraq are actually defined (except of few beside Baghdad), e.g. Al-Bassrah, Al-Kufah, Al-Najaf. Some of the towns and cities which are not defined in Iraq as well, include Karbala, and Samarra.