Yes, "Great Lakes" should be capitalized as it is a proper noun referring to a specific region of lakes in North America.

The Great Lakes of North America are located on the borders of Canada and America. If you look at a map of the region you will see all the cities and towns that are close to the lakes.

Isle Royale

Lakes Superior, Huron, Michigan, Erie and Ontario - they are located near the US and Canada border in northeastern North America

There are seven continents in the world and there are five great lakes in North America,