The Collaborative International Dictionary of English v.0.48:

Captaincy \Cap"tain*cy\, n.; pl. Captaincies.
   The rank, post, or commission of a captain. --Washington.
   [1913 Webster]

   Captaincy general, the office, power, territory, or
      jurisdiction of a captain general; as, the captaincy
      general of La Habana (Cuba and its islands).
      [1913 Webster]