Can we Configure Change Data Capture in another Database?
No, it will only work within the same database. After all, what do you expect to happen if the second database goes offline, gets dropped, becomes corrupt, has permissions changes, etc.?

Now, once the CDC tables are created, I guess one potential workaround would be to place INSTEAD OF INSERT triggers on them, and divert the data to identical tables in another database that you manually create. But I haven't tested this, it would hardly be supported, and you would also lost a lot of the inherent CDC functionality (think about all the LSN-based functions that would now obviously not work). And again, I don't know what would happen when the other database goes offline, gets dropped, etc...