Writing small cap letters with caps lock on

Hi,
I will like to know how to write small cap letterings with cap locks on.
In window, just need to hold on to shift while in caps lock, I will be able to write small cap lettering such as "HellO"?
Any advise from anyone will be deeply appreciated.
Thank You.

Normally that's the way it works on the Mac.  Maybe you are using some software that doesn't support it.

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