Bibliophage:
You don’t know the half of it in Colorado, (Actually, you do know the half of it in Colorado - exactly half). To get confusion to an even higher zenith, there are two Colorado Cities in Colorado and neither is the capital. Actually, to clear the mud a bit, a few years ago the older of the two Colorado Cities here in the state voted to be known as “Old Colorado City.”
Still if you look in most atlases, you will find only one listed.
TV
The capital of the Republic of Panama is not, I believe, Panama City, but simply “Panama.” If you are in Panama outside of the capital and you say “Voy a Panama,” (I am going to Panama) or even “Voy a la Cuidad” (I am going to the city) it will be understood that you are going to the capital.
Several provinces in Panama don’t have their namesake city as the provincial capital, including Chiriqui (capital David) and Cocle (capital Penonome).
Well, it certainly doesn’t say The City of New York City, now does it? Unlike, say, Oklahoma City, an address in NYC is usually given as “New York, New York”. “Oklahoma, Oklahoma” or “Kansas, Kansas” just sound wrong.