Might I suggest that there are some omissions from this list? Please check out Trinidad and Tobago, Netherlands (partly in S. America), Spain, Portugal and Italy (all partly in Africa), Greece (partly in Asia) and Indonesia (partly in Oceania). There may be others.
Hawaii. Though why Hawaii counts, but not Martinique, Marathos, Madera, Melilla or Maluku, etc - all of which are integral parts of their country (rather than overseas territories) and all of which are in different continents to their country's capital.