In my experience, Canadians aren't going to know US state capitals all that well. A lot of them are pretty obscure really. Like people who don't study it might fluke on the capitals of Colorado, Arizona, Mass, Georgia 'n shit. But most of the capitals are a bit off the beaten path. Tallahassee, Sacramento, Albany, Jefferson City, Olympia, Lansing, Springfield. There are much more prominent cities in those states that would be first to come to mind by a long shot.
Canadians are generally bright people so they might have heard of some of the weird ones and it would stick with them more than a lot of people. Like the fact that Albany is the capital of New York would come up semi-regularly on Law and Order. Jeopardy does have a considerable Canadian following so stuff comes up.
But overall, the US state capitals are pretty much of a clusterfuck.
I guess we can officially declare it at this point: my word-of-the-day is: clusterfuck.