Where is Anode Cap connected in CRT?
Yes, the anode cap is connected to a conductive layer on the inside of the glass envelope. It is a thin conductive graphite layer called aquadag. Electrons accelerated from the cathode exit the cathode ray tube here.
Both inside and outside of the glass envelope are conductive - it forms a capacitor which is the final filter that ensures that high-voltage is relatively constant, with small ripple.

The outside conductor on the glass envelope must be grounded for your protection.