Capablanca liked to talk about how much of a genius he was.
Granted, he did it in a more pleasant (and less obvious) way than, say, Nimzowitsch ... but there was still a clear self-celebratory tone in Capablanca's writings about himself, especially in his anecdotes about how he learned to play chess.
So it's not unreasonable to assume that may have been some ... embellishments ... thrown in here and there. And also some more mundane details (such as the more tedious act of actual chess study) that might've been conveniently glossed over, or unmentioned completely ...
#37
In his 'chess fundamentals'
game with Marshall move 5: the reason was my total lack of knowledge of the different variations in this opening
game with Rubinstein move 6: I was trying to avoid the beaten track
game against Janowski move 9: the idea of this irregular opening is mainly to throw white on his own resources
game against Burn, move 5: my ignorance of the multiple variations of the openings
game against Chajes, move 4: not the most favored move
This further attests that Capablanca did not study opening theory. He did however extensively study endgames.
In hindsight people say Capa's endgame prowess was overrated. His was routinely going into the endgame with a superior position so it's no wonder he did well.
Not knowing cutting edge theory is not the same as not studying (anyway, how can you avoid the beaten path if you don't know the beaten path to begin with?)
Svidler makes comments like this all the time in his banter blitz videos. One really made me laugh... he was playing a GM and lamented something like "oh no, I haven't studied this line since my youth, I don't remember anything, which is very bad to go into this line without knowing anything" then on move 12 he quotes some game from 1970 that had the same position, proceeded to play theory until move 15, and outplays his GM opponent in the middlegame, and wins before move 30.
When a professional says they "don't know an opening" they mean something very different from when a non-titled player says they "don't know an opening." The professional means they don't have the opening prepared to a professional standard, while the beginner means they've literally never seen or played it before.