Location: Born in the US; damned if I know where I live now
Posts: 1,574
I had it happen with a size 1 city I captured. A couple turns later, I captured that civ's capital and sole remaining city (also size 1). It didn't raze that one.
This is, far as I can tell, an undocumented feature. Probably to head off your munchkin strategy at the pass ;>
It doesn't affect the game very much EXCEPT for those people that "let the AI build cities for them", so I think they did it specifically to stop this strat.