C# Lambda Convert Comma Seperated Upper case string with spaces to Titlecase with Trim

TextInfo.ToTitleCase(String) Method - Converts the specified string to title case (except for words that are entirely in uppercase, which are considered to be acronyms). String.Replace will help with spaces:

string s_Response = (new CultureInfo("en-US",false).TextInfo
    .ToTitleCase(responseString.Replace(", ", ","));

When all else fails, there's always a good ol' fashioned state machine:

public const string Input = "BAHAMAS, BAHRAIN, BANGLADESH, BONAIRE SINT EUSTATIUS, BOSNIA HERZEGOVINA";

public static string DoCapitalize (string input)
{
    TheState theState = TheState.Beginning;
    CharacterState characterState;
    var buffer = new StringBuilder (input.Length);

    foreach (char c in input)
    {
        characterState = GetCharacterState(c);
        switch (theState)
        {
            case TheState.Beginning:
                if (characterState == CharacterState.Letter)
                {
                    buffer.Append(char.ToUpper(c));
                    theState = TheState.InWord;
                }
                break;
            case TheState.InWord:
                if (characterState == CharacterState.Letter)
                {
                    buffer.Append(char.ToLower(c));
                }
                else if (characterState == CharacterState.Comma)
                {
                    buffer.Append(c);
                    theState = TheState.BetweenNames;
                }
                else if (characterState == CharacterState.Space)
                {
                    buffer.Append(c);
                    theState = TheState.BetweenWords;
                }
                break;
            case TheState.BetweenNames:
                if (characterState == CharacterState.Letter)
                {
                    buffer.Append(char.ToUpper(c));
                    theState = TheState.InWord;
                }
                break;
            case TheState.BetweenWords:
                if (characterState == CharacterState.Letter)
                {
                    buffer.Append(char.ToUpper(c));
                    theState = TheState.InWord;
                }
                break;
        }
    }
    return buffer.ToString ();


    static CharacterState GetCharacterState(char c)
    {
        CharacterState characterState;
        if (c == ' ')
        {
            characterState = CharacterState.Space;
        }
        else if (c == ',')
        {
            characterState = CharacterState.Comma;
        }
        else if (char.IsLetter(c))
        {
            characterState = CharacterState.Letter;
        }
        else
        {
            characterState = CharacterState.Other;
        }

        return characterState;
    }
}

Note that the GetCharacterState function is a local function (it gets it out of the main program flow, but keeps it with the main function.

If you want to have a list of "noise works" (of, the, etc.), you could easily implement it. The code is not simple, but it is pretty easy to read, and it is O(N).

Test output from the stated input:
Bahamas,Bahrain,Bangladesh,Bonaire Sint Eustatius,Bosnia Herzegovina

It's much easier to reason about it when decomposing each step:

using System;
using System.Linq;
using System.Collections.Generic;
                    
public class Program
{
    public static void Main()
    {
        string input = "BAHAMAS, BAHRAIN, BANGLADESH, BONAIRE SINT EUSTATIUS, BOSNIA HERZEGOVINA";  
        Console.WriteLine(input);
            
        string output = FormatCountries(input); 
        Console.WriteLine(output);
    }
    
    private static string FormatCountries(string input)
    {   
        StringBuilder output = new StringBuilder();
    
        foreach(string roughCountry in input.Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries))
        {
            string cleanedCountry = roughCountry.Trim().ToLower();
        
            string[] countryIndividualWords = cleanedCountry.Split(new string[] { " " }, StringSplitOptions.None);
        
            IEnumerable<string> individualFormatedWords = countryIndividualWords.Select(x => x.First().ToString().ToUpper() + x.Substring(1));
            string formatedCountry = string.Join(" ", individualFormatedWords);
        
            output.Append(formatedCountry + ",");
        }
    
        return output.Remove(output.Length - 1, 1).ToString(); // Remove the last comma
    }  
}

Here is a .NET Fiddle if you want to check it out.