[pqh]

Would it still be travelling too fast to be captured if it hit the sun directly?

[macintux]

Is something technically captured by a gravity well if it just happens to hit the object at the center? I assume not.

[isoprophlex]

At the very least, I'd say that... after collision, assuming complete coalescence into the object, they will share identical orbital parameters

[JshWright]

It would cease to exist in that case...

[eru]

No, but that's exceedingly unlikely. Even the sun is a very tiny target.