So if I want to learn European capitals I interleave it with what? The tennis/serve example is obvious, the rest is not.
In principle it should be another piece of knowledge which makes "European capitals" useful, in the same way that having a good backhand gives you more opportunities to serve. Examples would be "European systems of government", "European political movements", "European international politics and diplomacy", "European countries", etc. It's a little harder to think of, perhaps, because "European capitals" per se seems to many people to be an almost useless piece of knowledge.
* European history
* European nation-states and borders
* European language
* European physical geography (major rivers, mountain ranges)
* Famous Europeans and their hometowns
* European architecture
Interleaving, isn't a "right" or "wrong", "black" or "white"... Think of it as, this topic is "less" or "more" effective.
What do I mean? Well, as someone else mentioned, studying "European Nation States" might be a good option for you. Certainly a better option than, say, Swan Diving. You should accept that "European Nation States" is the best you can do right now.
One of the hallmark traits of intelligence is the ability to "relate" unrelated things. In this way, you could - theoretically - interleave ANYTHING, you just need to think abstractly enough about it.
Good luck
A concept, person or place that is emotionally important to you.
So if learning this to prepare for a quiz show, I'd probably interleave it with specific trivia-esque facts about each capital city's culture, history, etc. That way you both learn the names of the capitals, and you attach varied bits of context to each name.
If I needed to know them because I'm moving to somewhere in Europe and I want to have a "lay of the land," I might interleave other useful tips and tricks I would need to know. Any quirks in how they drive over there, how to order food in whatever languages I need to know, the different new social customs I need to be aware of, how to translate in my head between English and metric measurements perhaps, etc ...