I can’t help too much with states and capitals, but for Canadian geography, provinces and capitals we used the book “Wow! Canada” which our boys LOVED. They still talk about it all the time. We also do map drill and have them quiz each other: One says the name of a province or territory and the other says the name of the capital. They memorized them very quickly, as well as where to find them on the map, so we only review every couple of weeks. Unfortunately, there are only 13 pairs for our kids to remember verses 50.
Maybe you could make a scrap book as you learn them with a page for each state. I know Crayola.com has colouring pages for all the states with different state symbols. (We used the Canadian pages.) Not sure the ages of your kids, but it’s a thought if they are younger and like to do that.