Headlines and Titles of Works
Q. I am unable to find a ruling on state nicknames in my Chicago manual. Am I overlooking it? Is it “aloha state,” “Aloha state,” or “Aloha State”?
A. Write “Aloha State.” It’s essentially a proper name because it is a nickname for the proper entity Hawaii (nicknames for people are capitalized). And according to CMOS 8.48, popular names for places and epithets are usually capitalized. See that paragraph for examples.