Coal fly ash zeolites (CFAZs) of type X with low (Na-X) and medium (Na-Ca-X) content of calcium were synthesized by alkaline conversion of lignite coal fly ash generated by combustion of lignite with lower and higher limestone amounts, extracted from different coal deposits and burned in separate thermal power plants. The concentration and state of Ca in the zeolites were investigated by energy dispersive X-ray (EDX) analysis and X-ray photoelectron spectroscopy (XPS). CFAZs Na-Ca-X with a medium Ca-content were found to outperform their lower calcium counterparts Na-X in terms of carbon capture capacity. This provoked our research interest in elucidating the role of Ca in the CO2 retaining mechanism. CFAZs Na-X and Na-Ca-X were studied in consecutive dynamic adsorption cycles, after thermal regeneration at a temperature of 80 °C, at which only the physically adsorbed CO2 molecules can be released. Desorption was investigated by thermogravimetric TG-DTG analyses over a wide temperature range. In situ Fourier-transform infrared (FTIR) spectroscopy was performed to elucidate the structural features of Na-X and Na-Ca-X CFAZs and the types of their accessible adsorption sites. It was found that the role of Ca is to increase the number of accessible Na+ cations in SII and SIII positions in the zeolites where they can simultaneously adsorb two CO or CO2 molecules, which benefits their adsorption capacity. This study raises an issue on coal ash classification for the synthesis of zeolites with carbon capture applications.