In the link below, you will find a list of national capitals. The list includes not only sovereign countries, but several territories, overseas departments, autonomous countries, etc. A sovereign country's name will be bolded, so that is how you can differentiate.

See the link below for a full list of all the countries in the world, including sovereign and partially recognized states.

the Union was an alliance of sovereign states

There are no sovereign states in the US. Sovereign means self governing and independent. The states in the US are partially self governing, but not enough to be considered sovereign. The states ultimately fall under national government.