If Capricious Efreet is the only nonland permanent you control when its ability triggers, you’ll have to target it.

You may target zero, one, or two nonland permanents you don’t control.

You target between one and three permanents as you put the ability on the stack. You don’t randomly choose which one will be destroyed until the ability resolves. If one of those permanents has become an illegal target by then, you randomly choose between the remaining ones.

As the ability resolves, there is no time to react between the time a permanent is chosen at random and the time it’s destroyed. If you want to put a regeneration shield on one of those permanents, or sacrifice it for some effect, or anything else, you must do so before the ability resolves (and before you know which one of the permanents will be chosen at random).