How about this?

;WITH cte AS

-- split each string by character and decide UPPER or lower based on previous character or being the first char

(

SELECT

N,

Id,

CASE

WHEN N=1 OR (N>1 AND SUBSTRING(location ,N-1,1 ) = ' ')

THEN UPPER(SUBSTRING(location ,N ,1))

ELSE LOWER(SUBSTRING(location ,N ,1))

END AS split

FROM Tally

CROSS APPLY -- apply the code to each location

( SELECT Location, min(MyId) AS Id

FROM Import_Data_Filter

GROUP BY Location

)y

WHERE N < LEN(' ' + location + ' ')

)

-- and put it back together

SELECT

REPLACE((SELECT '' + split FROM cte c2 WHERE c2.Id = c1.Id ORDER BY N FOR XML PATH('')),' ',' ')

FROM cte c1

GROUP BY Id