Rio de Janeiro was once capital of Portugal, making it the only European capital outside of Europe.
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There is a city in New Mexico called Truth or Consequences.
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In the US, there are quite a few cities called Gaylord.
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Argentina's capital Buenos Aires means "Good air".
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Thailand's capital Bangkok means "city of angels".
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Malaysia's capital Kuala Lumpur means "Muddy River"
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Afghanistan's capital Kabul means "hump backed".
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Spain's capital Madrid means "place of abundant water".
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