I want to play a mixed Undead/Dark elves deck using the Undead Capital.
Can i play a Dark Elves card, when I don't have any loyalty symbols? Or do I have to play Chaos/Dark Elves Alliance first?

Hi, I hope your question still exists, even after 3 months.
Unlike the "standard faction" capitals, which give you one loyalty icon automatically, the Undead capital does not provide that bonus. So, if you want to play a Dark Elf card that requires loyalty icons:
1. Consider one of the alliance cards or
2. Play a Blood Offering. I consider this the more powerful option.

Either way, you probably need both options in your deck.

Thanks so much for the answer, I've been waiting for it for quite some time.