Thermo-mechanical effects are important in geologic carbon storage because CO2 will generally reach the storage formation colder than the rock, inducing thermal stresses. Capillary functions, i.e., retention and relative permeability curves, control the CO2 plume shape, which may affect overpressure and thus, caprock stability. To analyze these thermal and capillary effects, we numerically solve non-isothermal injection of CO2 in deformable porous media considering the In Salah, Algeria, CO2 storage site. We find that changes in the capillary functions have a negligible effect on overpressure and thus, caprock stability is not affected by capillary effects. However, we show that for the strike slip stress regime prevalent at In Salah, stability decreases in the lowest parts of the caprock during injection due to cooling-induced thermal stresses. Simulations show that shear slip along pre-existing fractures may take place in the cooled region, whereas tensile failure is less likely to occur. Indeed, only the injection zone and the lowest tens of meters of the 900-m-thick caprock at In Salah might be affected by cooling effects, which would thus not jeopardize the overall sealing capacity of the caprock. Furthermore, faults are likely to remain stable far away from the injection well because outside the cooled region the injection-induced stress changes are not sufficient to exceed the anticipated shear strength of minor faults. Nevertheless, we recommend that thermal effects should be considered in the site characterization and injection design of future CO2 injection sites to assess caprock stability and guarantee a permanent CO2 storage.