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So, DM plotting question incoming.

The basic premise of the "main story" that I'm running is that our mercenary company managed to stumble into a covert military operation gone off the rails. Think 1960s CIA, but with less drugs and more necromancy, and you're roughly in the right area. To find out just how deep the shit they are in is, they're going to the capital to meet with a spy. The idea here is pretty simple, the spy himself isn't high-ranking enough to be read into these kind of operations, but his boss is. If the PCs help him by doing stuff to make his boss look good, they get access to some files and some names they can follow up on for the next leg of the adventure.

My initial thinking was to have the PCs hunt down an assassin in the city. This seems like the kind of thing a spy would be involved with, it's politically neutral (important, given the composition and employment history of most of our group) and it could be fun: I can make up a few different leads and see how the group goes from there.

However, they are a mercenary company. And this is the capital. While this isn't a huge amount of distance for them to travel (about a day by boat), there are considerations there about picking up contacts and contracts. So I'm thinking I should maybe do something more extensive while they're there, so they can capitalise on being in the city for maybe a couple of weeks instead of a couple of days and have a proper deployment to this crucial area. Obviously I could complicate the above story, or just throw more contracts at them, but I've had them doing a lot of investigative and exploration stuff recently, so I'm thinking that I want to do something more fighty. The problem is what however. I was wondering if perhaps they might need to rescue an informant to discover the assassination plot in the first place (said informant being held by bandits or something outside the city), but I thought I'd ask and see if anyone else also had some good ideas.

Idea from a stranger that may or may not fit into your setting at all -
Some local unrest has reached boiling point and now people in an area of the city have taken up arms and built barricades, hoping to force the authorities to make some changes. The authorities are preparing to storm the barricades, of course, but they're worried that an influential ringleader or figurehead will escape in the action. Capturing the target alive would be a political coup and win some/all of the influence they need with the spy's boss.

The barricades would establish a clear "action area", could have a messy brawl through whatever type of buildings you've picked out. House to house, docks, industrial buildings. The rebels would be mostly weakly armed but more would be drawn to any fighting, so the group would have to move quickly. Then either take the target by surprise (extract them or hold out until the authorities retake the area?), or chase scene with whatever appropriate getaway method the target has planned. Action filled sidequest, basically. Add parkour opportunities, crazy improvised weapons, human shields and moral dilemmas to taste.

If you want more spy stuff after that, they could handle some interrogations to identify ringleaders from a group of captured rebels, or run a witch hunt to find sympathisers.