Capital Letters that are built-in symbols

They are:

C D E I K N O

It's easy to know. Just open a notebook and type the capital alphabet. Those changing color to black are protected.

To convert my comment into an answer: one can naively run Select[Names["System`*"], StringLength[#] == 1 &] to pick out built-in symbols that are only one character long. This will work in older versions of Mathematica, but ever since the introduction of formal symbols (which are, to be fair, in the System`​ context and are one-character expressions as well), this needs to be finessed further. Thus, we must add extra criteria to filter out the classical list of reserved capital letters (as of the current version):

Select[Names["System`*"], StringLength[#] == 1 &&
                          UpperCaseQ[#] &&
                          StringFreeQ[CharacterName[#], "Formal"] &]
   {"C", "D", "E", "I", "K", "N", "O"}

A (more expensive) alternative uses the new entity framework through WolframLanguageData[] like so:

Select[WolframLanguageData[], StringLength[CanonicalName[#]] == 1 &] // CanonicalName
   {"N", "C", "I", "O", "D", "E"}

but this misses K, which is the arbitrary index used for explicit sums and products returned as solutions by symbolic functions (akin to the use of C as an arbitrary constant). (Try e.g. RSolve[x[k + 1] == x[k] Prime[k], x, k].)

With a fresh kernel, use

Select[CharacterRange["A", "Z"], NameQ]

{"C", "D", "E", "I", "K", "N", "O"}