|Initial caps, roman, no quotation marks if well established:
Philadelphia or Philly
Los Angeles or L.A.
Beirut, Paris of the Middle East
Chicago, often called the Windy City
Kansas, the Sunflower State
the Old Lady of Threadneedle Street (the Bank of England)
Old Bailey (criminal court of London)
Mighty Mo (battleship Missouri)
Fighting Lady (carrier Lexington)
If not well established, use quotation marks and lowercase:
Upper Marlboro, self-styled "tobacco capital of Maryland"
Christchurch is known as "the most English city outside England"
itself called the "Cinderella of the rust belt"
For shortened proper names not commonly used, initial cap and quotation marks are used:
Kwajalein or "Kwaj"