The effect of capillary waves on the double layer capacitance of the interface between two immiscible electrolytes has been studied. We have found that a corrugation of the interface due to capillary waves leads to an increase in the capacitance, as compared with the Gouy-Chapman result for a flat interface. The theory offers a concept of a roughness function. (R) over tilde, which determines the deviation of capacitance from the Gouy-Chapman result. R is a function of Debye lengths of the two immiscible electrolytes. Analytical expression for the roughness function has been derived which shows a strong dependence of R on the interfacial tension and the dielectric constants of contacting solutions. Predictions amenable to experimental tests have been discussed.