Back in the 80s, I used to capitalize database names, and leave sql keywords in lower case. Most writers did the opposite, capitalizing the SQL keywords. Eventually, I started going along with the crowd.
Just in passing, I'll mention that, in most published code snippets in C, C++, or Java the language keywords are always in lower case, and upper case keywords may not even be recognized as such by some parsers. I don't see a good reason for using the opposite convention in SQL that you use in the programming language, even when the SQL is embedded in source code.
And I'm not defending the use of all caps for database names. It actually looks a little like "shouting". And there are better conventions, like using a few upper case letters in database names. (By "database names" I mean the names of schemas, schema objects like tables, and maybe a few other things.) Just because I did it in the 80s doesn't mean I have to defend it today.
Finally, "De gustibus non disputandum est".