In my WIP, the colloquial equivalent of "what the hell" would be "what the Depths," referring to a specific location: the Muddy Depths. I know that if I were to refer to the Muddy Depths explicitly I should capitalize them. I also know to capitalize, for example, the States when referring to the United States . What I'm not sure is if I need to capitalize the shorthand of just "Depths" or not. I'm inclined to think that I should, but I feel it makes the expression stand out too much when it's capitalized. Thoughts?