Transfer between two ethernet connected Time Capsule from a wifi connected computer
There is no way to have two Airport Time Capsule devices talk directly to each other to transfer files.

Usually, for inter-device file transfers, either a login mechanism like ssh (into the devices) should be available or the devices should support direct inter-device transfers through a protocol like FXP - File eXchange Protocol (where the connecting client helps initiate the transfer but does not act as a middleman in the actual transfer).

Unfortunately, the Airport Time Capsule supports neither ssh nor FXP.

The options below may be faster than going over WiFi (depending on what performance you're seeing now). If you need to do this often and would like to make it faster at some monetary cost as well as loss of convenience, your options are:  


Get a Thunderbolt to Gigabit Ethernet Adapter

Connect the devices like so: USB drive &lt;-> Time Capsule &lt;-> MacBook Air.
Connect the MacBook Air to one Time Capsule on its Gigabit ethernet port via this adapter.
Connect an external USB drive to the same Time Capsule, then transfer files to it from the Time Capsule (this would get you a higher data transfer speed, depending on the external drive and your ethernet cable).
Disconnect the USB drive from the Time Capsule, connect it to the second Time Capsule (switch the MacBook Air to the other one too over Thunderbolt&lt;->ethernet) and copy files to it.



OR  


Get a Thunderbolt to Gigabit Ethernet Adapter and a USB Ethernet Adapter

Connect the devices like so: Time Capsule 1 &lt;-> MacBook Air &lt;-> Time Capsule 2.
Connect the MacBook Air to one Time Capsule with the USB&lt;->ethernet adapter and to the other Time Capsule with the Thunderbolt&lt;->ethernet adapter.
Copy files from one Time Capsule to the other (just like how you're doing now).
The speed will vary depending on the direction of data transfer as well as network conditions and the number of files.