Probably a very small fraction of a mF, about 1/2000 mF (which would be 0.5 µF).
This unit for example appears to include a 220 Ohm 2 W resistor and what looks like a 220 nF 600V capacitor. At least, 600 V DC or 220 V AC is what it should be.
As pictured, it also incorporates a MOV!