I memorized the capitals along with the origin of their names by continent, since I already knew the countries.
So, I looked at the map and started with the countries from up to bottom and from left to right. I made an Image for the country which I would associate with another image of the capital and another image for the origin of the capital’s name.
For Argentina, I pictured Messi and for its capital of Buenos Aires an oxygen tank since Buenos Aires stands for “good air” in English. Along with that I pictured Virgin Mary beside because the name Buenos Aires comes from her title of being the Virgin of Buen Ayre. Now it’s just a matter of linking all of these images and place it in one loci.