What type of pronoun appears in all capital THAT?

The pronoun 'that' is a demonstrativepronoun. A demonstrative pronoun takes the place of a noun, indicating near or far in place or time.

They are: this, that, these, those.

Example: The red is my favorite but I also like that.

The pronoun 'that' is a relativepronoun, a Word that introduces a relative clause which 'relates' to the antecedent.

They are: who, whom, whose, which, that.

Example: The car that I hit was parked in the street.

Note: When the Word 'that' is followed directly by a noun, it is functioning as an adjective: that car; that street.