Interesting question. I would say that we would capitalize if the reference is done to the official and academic name of the course, but not necessarily if the name refers only to the matter of it. Compare:
- demain, j'ai cours d'anglais / de latin / de russe / de maths
- demain, j'ai (le cours) Anglais I / Latin III / Russe XIX / Mathématiques (A/a)vancées