The analogy is actually looser than it seems. Imagine a capacitor connected to a battery $V$ (with a resistor $R$ in series). The situation is described by Kirchoff's voltage law:
$$V -R\frac{dq}{dt}-\frac{1}{C}q=0$$
the solution to which is something like $q(t) = CV(1-e^{\frac{-t}{RC}})$. Then the maximum charge stored is $CV$, where $V$ is the potential difference which is held constant.
Now imagine putting an object (your "capacitor") with high thermal mass ($C_v$) between temperature reservoirs held at $T_1$ and $T_2$ held at a constant $\Delta T$. The temperature within the object is then described given by the Heat Equation:
$$\frac{dQ}{dt}=-k\frac{d^2T}{dx^2}\rightarrow \rho C_v\frac{dT}{dt}+k\frac{d^2T}{dx^2}=0$$
where we've assumed a lot about sources, dimensions, etc. What's important is that the system will reach steady state, a time at which points' temperatures are no longer time dependent (conceptually, this is when the "capacitor" no longer absorbs heat). This kills the time dependence in the equations:
$$k\frac{d^2T}{dx^2}=0 \rightarrow k \frac{dT}{dx}=B$$
But this is just Fourier's law ($k \frac{dT}{dx}=Q$) describing constant heat transfer through the object. Saying $R=\frac{\Delta x}{k}$ we've arrived at:
$$Q=\frac{\Delta T}{R}$$
So your "capacitor" starts off impeding the heat flow as it absorbs energy and comes to steady state temperature, but then permits constant heat flux independently of $C_v$ - your "capacitor" is much like the inductor you seek! (But not rigorously).
Main Points
The "capacitor" in either system behaved differently for a fixed "voltage" - the capacitor analogy is weak for steady heat transfer
If you use a complicated resistor-capacitor network and a time-varying input voltage (Example) you can actually simulate heat capacity in thermal systems, but its not the simple circuit you'd like it to be