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You need access to a holy ground tile within the radius of one of your cities. They look like a purple gemstone surrounded by rocks and a purple glow, usually guarded by greater fire elemental to boot. If you have that temples will be available the next time building construction is open for the city whose radius it falls under.
 
Yeah, this may be a case of loose translation, because while any city it is built in will suffice for the quest (as in not specifically your capital per se) they do require the holy grounds to build it to begin with.