Das kommt ganz darauf an, ob southern rein als adjektiv oder als Teil vom Eigennamen fungiert. Adjektive werden grundsätzlich klein geschrieben, Namen dagegen groß, also:

the southern States
Southern Railway
I lived in the south of England
The South of England Show takes place each June

Within that context, though, I'd probably capitalize "Southern" - as the "governing" body.

The Southern United States—commonly referred to as the American South, Dixie, or simply the South—constitutes a large distinctive region in the southeastern and south-central United States.
http://en.wikipedia.org/wiki/Southern_United_...

It would all depend on whether the southern is actually part of an established name or merely an adjective. For example, you would say:

"Georgia and Texas are southern states"

as that isn't the actual name of the region, but apparently there is a specific region named "the Southern United States", "the American South" or "the South". For full details, consult Wikipedia etc.

@DW - Exactly what my poor, tired, move-frazzled brain was so desperately trying to express :-))