Spellcheck Not Working for Some Words?

My hypothesis, based partly on experience, was that Spell check assumes capitalized words are names, and names can have idiosyncratic spellings, so it often--but not always--leaves them as entered.

Indeed, I did what you can also do and Googled the question (ChatGPT and Claude would be alternatives) and confirmed that hypothesis. One answer, in fact, went so far as to just acknowledge you're best off by "manually" checking all names. You'll also see that though there are some setting that can prompt Word and Excel to check capitalized words, doing so often leads to false positives.

If these are names of regions, sub-regions, cities you often use, I would suggest that you'd be best served by using Data Validation for the ones you need, rather than relying on spell-check to do the validation.