Brain Game: Another Nief Puzzle

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When the Borderlands quiz Kara and I composed was featured as the 5PM Quiz yesterday, I decided to consult my notes to see if I had a state-related Brain Game to follow up with this morning. Here's the result; enjoy!

Of the following four letters of the alphabet, which is NOT the first letter in the name of a U.S. state's capital?

N, I, E, F

Here is the SOLUTION.

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