Quoted from PGE3: Black Marsh
It was not until the time of the Second Empire that Black Marsh was first "conquered", at least in name. In 1E 2811, at the Battle of Argonia, the last organized army of reptilians in Black Marsh's history was defeated, and they retreated to Helstrom, into the impenetrable center of the Province where the men and mer wouldn't follow. The followind year, Black Marsh was officially incorporated into the Cyrodilic Empire.
Certainly nothing definitive in the slightest, but it's possible that, if there is a capitol for Argonia, it would be in the thickest, most inhospitable center of the marsh. Helstrom seems to fit that nicely.
Though it's more than possible it was just a strategic stronghold that made sense to flee towards and is not the capitol at all.