The statement "What's true about any baby with a capital H?" seems to be referring to "Baby" in a general or idiomatic sense, as in the concept of a "baby" as opposed to a specific individual. In that context, there is no definitive answer that universally applies to all babies regarding hair.
In reality, babies can be born with varying amounts of hair; some may have a full head of hair, while others may be completely bald. Therefore, saying "They do not have hair" or "They have hair" can both be true, depending on the individual baby.
If you're referring to a specific case or context, please provide more details!