Is new Delhi a pronoun?

No, the word 'New Delhi' is a noun, a proper noun, the name of a city, a word for a place. Both words of a proper noun must be capitalized.

A pronoun is a word that takes the place of a noun in a sentence. The pronoun that takes the place of the proper noun 'New Delhi' is it.

Example: New Delhi is the capital of India. It lies on the Yamuna River.